Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. In the second edition of this book the authors introduce new material to reflect recent ... Read More
Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. In the second edition of this book the authors introduce new material to reflect recent developments in stochastic programming, including: an analytical description of the tangent and normal cones of chance constrained sets; analysis of optimality conditions applied to nonconvex problems; a discussion of the stochastic dual dynamic programming method; an extended discussion of law invariant coherent risk measures and their Kusuoka representations; and in-depth analysis of dynamic risk measures and concepts of time consistency, including several new results. Read Less
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Edition:
2021, Society for Industrial & Applied Mathematics,U.S.
Publisher:
Society for Industrial & Applied Mathematics,U.S.
Published:
12/30/2021 12: 00: 00 AM
Language:
English
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18937163142
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2021, Society for Industrial & Applied Mathematics,U.S.
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2021, Society for Industrial & Applied Mathematics,U.S.
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2021, Society for Industrial & Applied Mathematics,U.S.
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2021, Society for Industrial & Applied Mathematics,U.S.
