Overview

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Full Product Details

Author:   Horand I Gassmann (Dalhousie Univ, Canada) ,  William T Ziemba (Univ Of British Columbia, Canada; London Sch Of Economics, Uk & Korea Inst Of Science And Technology, Korea) ,  Stein W. Wallace
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Volume:   4
Dimensions:   Width: 16.00cm , Height: 3.30cm , Length: 22.90cm
Weight:   0.885kg
ISBN:  

9789814407502

ISBN 10:   981440750
Pages:   548
Publication Date:   15 January 2013
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

Finance: Longevity Risk Management for Individual Investors; Optimal SP-Based Personal Financial Planning with Intermediate and Long Term Goals; Intertemporal Surplus Management with Jump Risks; Jump-Diffusion Risk-Sensitive Benchmarked Asset Management; Dynamic Portfolio Optimization Under Regime-Based Firm Strength; Options Portfolio Management as a Chance Constrained Problem; Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios Under Some Sources of Uncertainty; Stochastic Programming and Optimization in Horserace Betting; Production Planning and Logistics: Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective; Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon; Prioritizing Network Interdiction of Nuclear Smuggling; Sawmill Production Planning Under Uncertainty: Modelling and Solution Approaches; Energy: An Electricity Procurement Model with Energy and Peak Charges; Value of Flexibility in Hydroelectric Reservoir Operations; Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants; Theory Papers: Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks; Stochastic Frequency Assignment Problem.

Reviews

Like its predecessor volumes, this conference proceedings is an up-to-date record of the current status of the maturing field of stochastic programming. Its advance is supported here by articles which report on practical applications in finance, production, logistics, energy and telecommunications. -- M A H Dempster Professor Emeritus, Center for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge & Cambridge Systems Associates Limited, Cambridge UK

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions