Overview
- Provides a comprehensive course on stochastic programming on the graduate level
- Places major emphasis on conceptual modeling
- Shows students how to integrate risk in a linear programming framework
- Includes an additional chapter on stochastic integer programming
Part of the book series: Graduate Texts in Operations Research (GRTOPR)
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Table of contents (8 chapters)
Keywords
About this book
This book provides an essential introduction to Stochastic Programming, especially intended for graduate students. The book begins by exploring a linear programming problem with random parameters, representing a decision problem under uncertainty. Several models for this problem are presented, including the main ones used in Stochastic Programming: recourse models and chance constraint models. The book not only discusses the theoretical properties of these models and algorithms for solving them, but also explains the intrinsic differences between the models. In the book’s closing section, several case studies are presented, helping students apply the theory covered to practical problems.
The book is based on lecture notes developed for an Econometrics and Operations Research course for master students at the University of Groningen, the Netherlands - the longest-standing Stochastic Programming course worldwide.Reviews
“The book is well written. The book will be of interest to mathematicians, engineers, economics and especially graduate students.” (I. M. Stancu-Minasian, zbMATH 1446.90118, 2020)
Authors and Affiliations
About the authors
Maarten van der Vlerk was Professor in the Department of Operations at the University of Groningen. He was an expert in Stochastic Integer Programming. For many years he was lecturer of the Stochastic Programming course in Groningen and a PhD course on Stochastic Programming at the LNMB (the Dutch Network on the Mathematics of Operations Research).
Ward Romeijnders is Assistant Professor in the Department of Operations at the University of Groningen. He is an expert in Stochastic Integer Programming. He is the current lecturer of the Stochastic Programming courses in Groningen and at the LNMB.
Bibliographic Information
Book Title: Stochastic Programming
Book Subtitle: Modeling Decision Problems Under Uncertainty
Authors: Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
Series Title: Graduate Texts in Operations Research
DOI: https://doi.org/10.1007/978-3-030-29219-5
Publisher: Springer Cham
eBook Packages: Business and Management, Business and Management (R0)
Copyright Information: Springer Nature Switzerland AG 2020
Hardcover ISBN: 978-3-030-29218-8Published: 06 November 2019
Softcover ISBN: 978-3-030-29221-8Published: 05 November 2020
eBook ISBN: 978-3-030-29219-5Published: 24 October 2019
Series ISSN: 2662-6012
Series E-ISSN: 2662-6020
Edition Number: 1
Number of Pages: XII, 249
Number of Illustrations: 26 b/w illustrations, 1 illustrations in colour
Topics: Operations Research/Decision Theory, Probability Theory and Stochastic Processes, Optimization, Economic Theory/Quantitative Economics/Mathematical Methods