Verkauf durch Sack Fachmedien

Küchler

Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming

Medium: Buch
ISBN: 978-3-8348-0921-6
Verlag: Vieweg+Teubner Verlag
Erscheinungstermin: 24.09.2009
Lieferfrist: bis zu 10 Tage

Stochastic programming provides a framework for modelling, analyzing, and solving optimization problems with some parameters being not known up to a probability distribution. Such problems arise in a variety of applications, such as inventory control, financial planning and portfolio optimization, airline revenue management, scheduling and operation of power systems, and supply chain management.

Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees. The approach combines the concept of cut sharing with a specific aggregation procedure and prevents an exponentially growing number of subproblem evaluations. Convergence results and numerical properties are discussed.


Produkteigenschaften


  • Artikelnummer: 9783834809216
  • Medium: Buch
  • ISBN: 978-3-8348-0921-6
  • Verlag: Vieweg+Teubner Verlag
  • Erscheinungstermin: 24.09.2009
  • Sprache(n): Englisch
  • Auflage: 2009
  • Serie: Stochastic Programming
  • Produktform: Kartoniert
  • Gewicht: 275 g
  • Seiten: 184
  • Format (B x H x T): 148 x 210 x 12 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

Dr. Christian Küchler completed his doctoral thesis at the Humboldt University, Berlin. He currently works as a quantitative analyst at Landesbank Berlin AG.

Stability of Multistage Stochastic Programs.- Recombining Trees for Multistage Stochastic Programs.- Scenario Reduction with Respect to Discrepancy Distances.