Springer Series in Operations Research and Financial Engineering

Introduction to Stochastic Programming

Authors: Birge, John, Louveaux, Fran├žois

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About this Textbook

The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The first chapters introduce some worked examples of stochastic programming and demonstrate how a stochastic model is formally built. Subsequent chapters develop the properties of stochastic programs and the basic solution techniques used to solve them. Three chapters cover approximation and sampling techniques and the final chapter presents a case study in depth. A wide range of students from operations research, industrial engineering, and related disciplines will find this a well-paced and wide-ranging introduction to this subject.

Table of contents (12 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-0-387-22618-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Stochastic Programming
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
1997
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-0-387-22618-7
DOI
10.1007/b97617
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIX, 421
Topics