Springer Series in Operations Research and Financial Engineering

Introduction to Stochastic Programming

Authors: Birge, John R., Louveaux, François

  • Well-paced and wide-ranging introduction to this subject
  • Prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems
  • Provides a first course in stochastic programming suitable for students
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eBook 51,16 €
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  • ISBN 978-1-4614-0237-4
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Hardcover 62,39 €
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  • ISBN 978-1-4614-0236-7
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Softcover 62,35 €
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  • ISBN 978-1-4939-3703-5
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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. At the same time, it is now 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.

In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods.

The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest.



Review of First Edition:

"The discussion on modeling issues, the large number of examples used to illustrate the material, and the breadth of the coverage make 'Introduction to Stochastic Programming' an ideal textbook for the area." (Interfaces, 1998) 

 

 

About the authors

John R. Birge, is a Jerry W. and Carol Lee Levin Professor of Operations Management at the University of Chicago Booth School of Business. François Louveaux is a Professor at the University of Namur(FUNDP) in the Department of Business Administration

Reviews

From the reviews of the second edition:

“Help the students to understand how to model uncertainty into mathematical optimization problems, what uncertainty brings to the decision process and which techniques help to manage uncertainty in solving the problems. … certainly attract also the wide spectrum of readers whose main interest lies in possible exploitation of stochastic programming methodology and will help them to find their own way to treat actual problems using stochastic programming methods. As a whole, the three main building blocks of stochastic programming … are well represented and balanced.” (Jitka Dupačová, Zentralblatt MATH, Vol. 1223, 2011)

Table of contents (10 chapters)

  • Introduction and Examples

    Birge, John R. (et al.)

    Pages 3-54

    Preview Buy Chapter 30,19 €
  • Uncertainty and Modeling Issues

    Birge, John R. (et al.)

    Pages 55-100

    Preview Buy Chapter 30,19 €
  • Basic Properties and Theory

    Birge, John R. (et al.)

    Pages 103-161

    Preview Buy Chapter 30,19 €
  • The Value of Information and the Stochastic Solution

    Birge, John R. (et al.)

    Pages 163-177

    Preview Buy Chapter 30,19 €
  • Two-Stage Recourse Problems

    Birge, John R. (et al.)

    Pages 181-263

    Preview Buy Chapter 30,19 €

Buy this book

eBook 51,16 €
price for Spain (gross)
  • ISBN 978-1-4614-0237-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 62,39 €
price for Spain (gross)
  • ISBN 978-1-4614-0236-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 62,35 €
price for Spain (gross)
  • ISBN 978-1-4939-3703-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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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
2011
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media, LLC
eBook ISBN
978-1-4614-0237-4
DOI
10.1007/978-1-4614-0237-4
Hardcover ISBN
978-1-4614-0236-7
Softcover ISBN
978-1-4939-3703-5
Series ISSN
1431-8598
Edition Number
2
Number of Pages
XXV, 485
Topics