Lecture Notes in Economics and Mathematical Systems

Dynamic Stochastic Optimization

Herausgeber: Marti, Kurt, Ermoliev, Yuri, Pflug, Georg Ch. (Eds.)

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Über dieses Buch

Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic­ itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec­ tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci­ sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu­ tions. Objective and constraint functions of dynamic stochastic optimization problems have the form of multidimensional integrals of rather involved in­ that may have a nonsmooth and even discontinuous character - the tegrands typical situation for "hit-or-miss" type of decision making problems involving irreversibility ofdecisions or/and abrupt changes ofthe system. In general, the exact evaluation of such functions (as is assumed in the standard optimization and control theory) is practically impossible. Also, the problem does not often possess the separability properties that allow to derive the standard in control theory recursive (Bellman) equations.

Inhaltsverzeichnis (16 Kapitel)

  • Reflections on Output Analysis for Multistage Stochastic Linear Programs

    Dupačová, Jitka

    Seiten 3-20

  • Modeling Support for Multistage Recourse Problems

    Kall, Peter (et al.)

    Seiten 21-41

  • Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains

    Sladký, Karel (et al.)

    Seiten 43-66

  • Approximation and Optimization for Stochastic Networks

    Granger, Julien (et al.)

    Seiten 67-79

  • Optimal Stopping Problem and Investment Models

    Arkin, Vadim I. (et al.)

    Seiten 83-98

Dieses Buch kaufen

eBook 91,62 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-642-55884-9
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: PDF
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Softcover 117,69 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-540-40506-1
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
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Bibliografische Information

Bibliographic Information
Buchtitel
Dynamic Stochastic Optimization
Herausgeber
  • Kurt Marti
  • Yuri Ermoliev
  • Georg Ch. Pflug
Titel der Buchreihe
Lecture Notes in Economics and Mathematical Systems
Buchreihen Band
532
Copyright
2004
Verlag
Springer-Verlag Berlin Heidelberg
Copyright Inhaber
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-55884-9
DOI
10.1007/978-3-642-55884-9
Softcover ISBN
978-3-540-40506-1
Buchreihen ISSN
0075-8442
Auflage
1
Seitenzahl
VIII, 336
Themen