Stochastic Linear Programming: Models, Theory, and Computation

Author:   Peter Kall ,  Janos Mayer
Publisher:   Springer-Verlag New York Inc.
Edition:   and ed.
Volume:   v. 80
ISBN:  

9780387233857


Pages:   416
Publication Date:   17 February 2005
Format:   Hardback
Availability:   Out of stock   Availability explained


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Stochastic Linear Programming: Models, Theory, and Computation


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Overview

Peter Kall and Janos Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. Stochastic Linear Programming is a definitive presentation and discussion of the theoretical properties of the models, the conceptual algorithmic approaches, and the computational issues relating to the implementation of these methods to solve problems that are stochastic in nature.

Full Product Details

Author:   Peter Kall ,  Janos Mayer
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   and ed.
Volume:   v. 80
Dimensions:   Width: 23.40cm , Height: 2.50cm , Length: 15.60cm
Weight:   0.759kg
ISBN:  

9780387233857


ISBN 10:   0387233857
Pages:   416
Publication Date:   17 February 2005
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Out of Print
Availability:   Out of stock   Availability explained

Table of Contents

Basics.- Introduction.- Linear Programming Prerequisites.- Nonlinear Programming Prerequisites.- Single-stage SLP Models.- Introduction.- Models involving Probability Functions.- Quantile Functions, Value at Risk.- Models Based on Expectation.- Models Built with Deviation Measures.- Modeling Risk and Opportunity.- Risk Measures.- Multi-stage SLP Models.- The General SLP with Recourse.- The Two-stage SLP.- The Multi-stage SLP.- Algorithms.- Models with Probability Functions.- Models with Quantile Functions.- Models Based on Expectation.- Models with Deviation Measures.- Two-stage Recourse Problems.- Multi-stage Recourse Problems.- Modeling Systems for SLP.- Bibliography.

Reviews

From the reviews: ""The book presents a comprehensive study of stochastic linear optimization problems and their applications. ! The presentation includes geometric interpretation, linear programming duality, and the simplex method in its primal and dual forms. ! The authors have made an effort to collect ! the most useful recent ideas and algorithms in this area. ! A guide to the existing software is included as well."" (Darinka Dentcheva, Mathematical Reviews, Issue 2006 c) ""This is a graduate text in optimisation whose main emphasis is in stochastic programming. The book is clearly written. ! This is a good book for providing mathematicians, economists and engineers with an almost complete start up information for working in the field. I heartily welcome its publication. ! It is evident that this book will constitute an obligatory reference source for the specialists of the field."" (Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6), 2007)


From the reviews: <p> The book presents a comprehensive study of stochastic linear optimization problems and their applications. a ] The presentation includes geometric interpretation, linear programming duality, and the simplex method in its primal and dual forms. a ] The authors have made an effort to collect a ] the most useful recent ideas and algorithms in this area. a ] A guide to the existing software is included as well. (Darinka Dentcheva, Mathematical Reviews, Issue 2006 c) <p> This is a graduate text in optimisation whose main emphasis is in stochastic programming. The book is clearly written. a ] This is a good book for providing mathematicians, economists and engineers with an almost complete start up information for working in the field. I heartily welcome its publication. a ] It is evident that this book will constitute an obligatory reference source for the specialists of the field. (Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6), 2007)


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