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Springer Series in Operations Research and Financial Engineering

Multistage Stochastic Optimization

Authors: Pflug, Georg Ch., Pichler, Alois

  • Provides the first comprehensive treatment of multistage stochastic decision problems
  • Presents a rigorous treatment of scenario generation methods using distance concepts
  • Contains new concepts of time-consistent decision making
  • Showcases the influence of model ambiguity to the decision process
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eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-08843-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-08842-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-319-38267-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency   and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.

About the authors

Georg Pflug is full professor of Statistics and Operations Research at the University of Vienna, Austria. He got a PhD in Mathematics from the University of Vienna and was Professor of Mathematics at the University of Giessen, Germany, before joining the University of Vienna as a full professor. He is author of 4 books and more than 80 peer reviewed articles. He is also editor of several books and special issues of journals.

Alois Pichler holds a PhD in economic sciences and master degrees in mathematics and physics. He has gathered business experience in different positions in the insurance and banking industry, including managerial positions. He is with the Norwegian University of Science and Technology and his scientific work is dedicated to mathematical properties of risk measures with a particular focus on their relation to insurance, and to optimization under uncertainty.

Reviews

“As stochastic optimization problems can be solved only approximatively, the book presents the mathematical foundations for approximation methods as well as practical algorithms and examples for the generation and handling of scenario trees. … The book, covering the current status in multistage stochastic optimization, can be recommended to readers interested in theoretical as well as in practical aspects of this field.” (Kurt Marti, Mathematical Reviews, June, 2015)


Table of contents (8 chapters)

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-08843-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-08842-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-319-38267-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Multistage Stochastic Optimization
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2014
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-08843-3
DOI
10.1007/978-3-319-08843-3
Hardcover ISBN
978-3-319-08842-6
Softcover ISBN
978-3-319-38267-8
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIV, 301
Number of Illustrations and Tables
81 b/w illustrations
Topics