Stochastic Multi Stage Optimization
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Stochastic Multi Stage Optimization
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Author : Pierre Carpentier
language : en
Publisher: Springer
Release Date : 2015-05-05
Stochastic Multi Stage Optimization written by Pierre Carpentier and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-05 with Mathematics categories.
The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.
Multistage Stochastic Optimization
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Author : Georg Ch. Pflug
language : en
Publisher: Springer
Release Date : 2014-11-12
Multistage Stochastic Optimization written by Georg Ch. Pflug and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-12 with Business & Economics categories.
Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.
Numerical Computations Theory And Algorithms
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Author : Yaroslav D. Sergeyev
language : en
Publisher: Springer Nature
Release Date : 2024-12-31
Numerical Computations Theory And Algorithms written by Yaroslav D. Sergeyev and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-12-31 with Computers categories.
The three-volume set LNCS 14476-14478 constitutes the post conference proceedings of the 4th International Conference on Numerical Computations: Theory and Algorithms, NUMTA 2023, held in Pizzo Calabro, Italy, during June 14–20, 2023. The 45 full papers presented in this book together with 60 short papers were carefully reviewed and selected from 170 submissions. The papers focus on topics such as: continuous and discrete single- and multi-objective problems, local, global and large-scale optimization, classification in machine learning, optimal control, and applications; computational and applied mathematics (such as approximation theory, computational geometry, computational fluid dynamics, dynamical systems and differential equations, numerical algebra, etc.) and applications in engineering and science; numerical models, methods and software using traditional and emerging high-performance computational tools and paradigms (including the infinity and quantum computing) and their application in artificial intelligence and data science, bioinformatics, economics and management, engineering and technology, mathematical education, number theory and foundations of mathematics, etc.
Algorithmics Of Large And Complex Networks
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Author : Jürgen Lerner
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-07-02
Algorithmics Of Large And Complex Networks written by Jürgen Lerner 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 2009-07-02 with Computers categories.
A state-of-the-art survey that reports on the progress made in selected areas of this important and growing field, aiding the analysis of existing networks and the design of new and more efficient algorithms for solving various problems on these networks.
Stability Approximation And Decomposition In Two And Multistage Stochastic Programming
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Author : Christian Küchler
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-05-30
Stability Approximation And Decomposition In Two And Multistage Stochastic Programming written by Christian Küchler 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 2010-05-30 with Mathematics categories.
Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees.
Quantitative Analysis In Financial Markets
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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 1999
Quantitative Analysis In Financial Markets written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.
Computational Logistics
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Author : Carlos Paternina-Arboleda
language : en
Publisher: Springer Nature
Release Date : 2019-09-20
Computational Logistics written by Carlos Paternina-Arboleda and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-20 with Computers categories.
This book constitutes the proceedings of the 10th International Conference on Computational Logistics, ICCL 2019, held in Barranquilla, Colombia, in September/October 2019. The 27 papers included in this book were carefully reviewed and selected from 49 submissions. They were organized in topical sections named: freight transportation and urban logistics; maritime and port logistics; vehicle routing problems; network design and distribution problems; and selected topics in decision support systems and ICT tools.
Combining Stochastic Programming And Optimal Control To Solve Multistage Stochastic Optimization Problems
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Author : Diana Barro
language : en
Publisher:
Release Date : 2012
Combining Stochastic Programming And Optimal Control To Solve Multistage Stochastic Optimization Problems written by Diana Barro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic programming problem in arborescent form. Combining the arborescent formulation of the problem with the point of view of the optimal control theory naturally gives as a first result the time decomposability of the optimality conditions, which can be organized according to the terminology and structure of a discrete time optimal control problem into the systems of equation for the state and adjoint variables dynamics and the optimality conditions for the generalized Hamiltonian. Moreover these conditions, due to the arborescent formulation of the stochastic programming problem, further decompose with respect to the nodes in the event tree. The optimal solution is obtained by solving small decomposed subproblems and using a mean valued fixed-point iterative scheme to combine them. To enhance the convergence we suggest an optimization step where the weights are chosen in an optimal way at each iteration.
Scenario Based Optimization For Multi Stage Stochastic Decision Problems
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Author : Georg Schildbach
language : en
Publisher:
Release Date : 2014
Scenario Based Optimization For Multi Stage Stochastic Decision Problems written by Georg Schildbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Risk Modeling Assessment And Management
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Author : Yacov Y. Haimes
language : en
Publisher: John Wiley & Sons
Release Date : 2015-08-03
Risk Modeling Assessment And Management written by Yacov Y. Haimes 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 2015-08-03 with Technology & Engineering categories.
Presents systems-based theory, methodology, and applications in risk modeling, assessment, and management This book examines risk analysis, focusing on quantifying risk and constructing probabilities for real-world decision-making, including engineering, design, technology, institutions, organizations, and policy. The author presents fundamental concepts (hierarchical holographic modeling; state space; decision analysis; multi-objective trade-off analysis) as well as advanced material (extreme events and the partitioned multi-objective risk method; multi-objective decision trees; multi-objective risk impact analysis method; guiding principles in risk analysis); avoids higher mathematics whenever possible; and reinforces the material with examples and case studies. The book will be used in systems engineering, enterprise risk management, engineering management, industrial engineering, civil engineering, and operations research. The fourth edition of Risk Modeling, Assessment, and Management features: Expanded chapters on systems-based guiding principles for risk modeling, planning, assessment, management, and communication; modeling interdependent and interconnected complex systems of systems with phantom system models; and hierarchical holographic modeling An expanded appendix including a Bayesian analysis for the prediction of chemical carcinogenicity, and the Farmer’s Dilemma formulated and solved using a deterministic linear model Updated case studies including a new case study on sequential Pareto-optimal decisions for emergent complex systems of systems A new companion website with over 200 solved exercises that feature risk analysis theories, methodologies, and application Risk Modeling, Assessment, and Management, Fourth Edition, is written for both undergraduate and graduate students in systems engineering and systems management courses. The text also serves as a resource for academic, industry, and government professionals in the fields of homeland and cyber security, healthcare, physical infrastructure systems, engineering, business, and more.