Dynamic Stochastic Optimization
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Dynamic Stochastic Optimization
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Author : Kurt Marti
language : en
Publisher: Springer Science & Business Media
Release Date : 2004
Dynamic Stochastic Optimization written by Kurt Marti and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
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.
Dynamic Stochastic Optimization
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Author : Kurt Marti
language : en
Publisher:
Release Date : 2003-10-29
Dynamic Stochastic Optimization written by Kurt Marti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-10-29 with categories.
Dynamic Stochastic Optimization
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Author : Kurt Marti
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Dynamic Stochastic Optimization written by Kurt Marti and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Science categories.
Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu tions. Objective and constraint functions of dynamic stochastic optimization problems have the form of multidimensional integrals of rather involved in that may have a nonsmooth and even discontinuous character - the tegrands typical situation for "hit-or-miss" type of decision making problems involving irreversibility ofdecisions or/and abrupt changes ofthe system. In general, the exact evaluation of such functions (as is assumed in the standard optimization and control theory) is practically impossible. Also, the problem does not often possess the separability properties that allow to derive the standard in control theory recursive (Bellman) equations.
Dynamic Stochastic Optimization With Applications In Finance
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Author : Matthias Moch
language : en
Publisher:
Release Date : 2008
Dynamic Stochastic Optimization With Applications In Finance written by Matthias Moch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Dynamic Stochastic Optimization Problems In The Framework Of Forecast And Decision Horizons
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Author : Suresh Sethi
language : en
Publisher:
Release Date : 2020
Dynamic Stochastic Optimization Problems In The Framework Of Forecast And Decision Horizons written by Suresh Sethi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the question of existence of forecast/decision horizons. Finally, we provide some results on the existence of forecast/decision horizons in the discounted case and procedures to compute these horizons.
Dynamic Stochastic Optimization Models For Air Traffic Flow Management
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Author : Avijit Mukherjee
language : en
Publisher:
Release Date : 2004
Dynamic Stochastic Optimization Models For Air Traffic Flow Management written by Avijit Mukherjee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Air traffic control categories.
Finally, we present three stochastic integer programming models for managing inbound air traffic flow of an airport, when there is adverse weather impacting the arrival capacity of the airport along with its arrival fixes. These are the first models, for optimizing ATFM decisions, which address uncertainty of future capacities of multiple NAS resources.
Adaptive Stochastic Optimization Techniques With Applications
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Author : James A. Momoh
language : en
Publisher: CRC Press
Release Date : 2015-12-02
Adaptive Stochastic Optimization Techniques With Applications written by James A. Momoh and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-02 with Business & Economics categories.
Adaptive Stochastic Optimization Techniques with Applications provides a single, convenient source for state-of-the-art information on optimization techniques used to solve problems with adaptive, dynamic, and stochastic features. Presenting modern advances in static and dynamic optimization, decision analysis, intelligent systems, evolutionary pro
Stochastic Optimization In Insurance
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Author : Pablo Azcue
language : en
Publisher: Springer
Release Date : 2014-06-19
Stochastic Optimization In Insurance written by Pablo Azcue and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-19 with Mathematics categories.
The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.
Concepts Of Forecast And Decision Horizons
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Author : Christian Bes
language : en
Publisher:
Release Date : 2015
Concepts Of Forecast And Decision Horizons written by Christian Bes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Focuses on a study which developed a framework for forecast and decision horizons. Definition of finite and infinite horizon stochastic optimization problems for a given forecast; Description of the general framework; Conditions for the existence of a solution horizon; Development of sufficient conditions for the existence of a finite forecast horizon.
Optimizations And Programming
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Author : Abdelkhalak El Hami
language : en
Publisher: John Wiley & Sons
Release Date : 2021-04-27
Optimizations And Programming written by Abdelkhalak El Hami and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-27 with Technology & Engineering categories.
This book is a general presentation of complex systems, examined from the point of view of management. There is no standard formula to govern such systems, nor to effectively understand and respond to them. The interdisciplinary theory of self-organization is teeming with examples of living systems that can reorganize at a higher level of complexity when confronted with an external challenge of a certain magnitude. Modern businesses, considered as complex systems, ideally know how to flexibly and resiliently adapt to their environment, and also how to prepare for change via self-organization. Understanding sources of potential crisis is essential for leaders, though not all crises are necessarily bad news, as creative firms know how to respond to challenges through innovation: new products and markets, organizational learning for collective intelligence, and more.