Overview
- Presents solution methods with a sound theoretical basis and with discussing their implementation and the related computational issues
- Books with this profile are definitely missing on the market
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 80)
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Table of contents (4 chapters)
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Front Matter
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Back Matter
Keywords
About this book
Peter Kall and János Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. Stochastic Linear Programming: Models, Theory, and Computation is a definitive presentation and discussion of the theoretical properties of the models, the conceptual algorithmic approaches, and the computational issues relating to the implementation of these methods to solve problems that are stochastic in nature. The application area of stochastic programming includes portfolio analysis, financial optimization, energy problems, random yields in manufacturing, risk analysis, etc. In this book, models in financial optimization and risk analysis are discussed as examples, including solution methods and their implementation.
Stochastic programming is a fast developing area of optimization and mathematical programming. Numerous papers and conference volumes, and several monographs have been published in the area; however, the Kall and Mayer book will be particularly useful in presenting solution methods including their solid theoretical basis and their computational issues, based in many cases on implementations by the authors. The book is also suitable for advanced courses in stochastic optimization.
Reviews
From the reviews:
"The book presents a comprehensive study of stochastic linear optimization problems and their applications. … The presentation includes geometric interpretation, linear programming duality, and the simplex method in its primal and dual forms. … The authors have made an effort to collect … the most useful recent ideas and algorithms in this area. … A guide to the existing software is included as well." (Darinka Dentcheva, Mathematical Reviews, Issue 2006 c)
"This is a graduate text in optimisation whose main emphasis is in stochastic programming. The book is clearly written. … This is a good book for providing mathematicians, economists and engineers with an almost complete start up information for working in the field. I heartily welcome its publication. … It is evident that this book will constitute an obligatory reference source for the specialists of the field." (Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6), 2007)
Authors and Affiliations
Bibliographic Information
Book Title: Stochastic Linear Programming
Book Subtitle: Models, Theory, and Computation
Authors: Peter Kall, János Mayer
Series Title: International Series in Operations Research & Management Science
DOI: https://doi.org/10.1007/b105472
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag US 2005
eBook ISBN: 978-0-387-24440-2Published: 25 July 2005
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XII, 398
Number of Illustrations: 32 b/w illustrations
Topics: Optimization, Operations Research, Management Science, Mathematical and Computational Engineering, Probability Theory and Stochastic Processes, Operations Research/Decision Theory, Applications of Mathematics