Dynamic stochastic optimization

Kurt Marti, Yuri Ermoliev, Georg Pflug (eds.)

This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented. Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.

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[目次]

  • I. Dynamic Decision Problems under Uncertainty: Modeling Aspects.- Reflections on Output Analysis for Multistage Stochastic Linear Programs.- Modeling Support for Multistage Recourse Problems.- Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains.- Approximation and Optimization for Stochastic Networks.- II. Dynamic Stochastic Optimization in Finance.- Optimal Stopping Problem and Investment Models.- Estimating LIBOR/Swaps Spot-Volatilities: the EpiVolatility Model.- Structured Products for Pension Funds.- III. Optimal Control Under Stochastic Uncertainty.- Real-time Robust Optimal Trajectory Planning of Industrial Robots.- Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC) for Robots.- IV. Tools for Dynamic Stochastic Optimization.- Solving Stochastic Programming Problems by Successive Regression Approximations - Numerical Results.- Stochastic Optimization of Risk Functions via Parametric Smoothing.- Optimization under Uncertainty using Momentum.- Perturbation Analysis of Chance-constrained Programs under Variation of all Constraint Data.- The Value of Perfect Information as a Risk Measure.- New Bounds and Approximations for the Probability Distribution of the Length of the Critical Path.- Simplification of Recourse Models by Modification of Recourse Data.

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この本の情報

書名 Dynamic stochastic optimization
著作者等 Ermolʹev, I︠U︡riĭ Mikhaĭlovich
Marti, Kurt
Pflug, Georg Ch.
Pflug Georg
Ermoliev Yuri
シリーズ名 Lecture notes in economics and mathematical systems
出版元 Springer
刊行年月 c2004
版表示 Softcover reprint of the original 1st ed. 2004
ページ数 viii, 336 p.
大きさ 24 cm
ISBN 3540405062
NCID BA64497900
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言語 英語
出版国 ドイツ
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