| Description |
1 online resource (volumes) |
| Series |
Lecture Notes in Economics and Mathematical Systems, 0075-8442 ; 548 |
|
Lecture notes in economics and mathematical systems ; 548. 0075-8442
|
| Contents |
Introduction; Basic Theory of Stochastic Optimization; Convex Stochastic Programs; Barycentric Approximation Scheme; Extensions; Applications in the Power Industry; Conclusions |
| Summary |
This work was completed during my tenure as a scientific assistant and doctoral student at the Institute for Operations Research at the University of St. Gallen. During that time, I was involved in several industry projects in the field of power management, on the occasion of which I was repeatedly confronted with complex decision problems under uncertainty. Although usually hard to solve, I quickly learned to appreciate the benefit of stochastic programming models and developed a strong interest in their theoretical properties. Motivated both by practical questions and theoretical concerns, I became particularly interested in the art of finding tight bounds on the optimal value of a given model. The present work attempts to make a contribution to this important branch of stochastic optimization theory. In particular, it aims at extending some classical bounding methods to broader problem classes of practical relevance. This book was accepted as a doctoral thesis by the University of St. Gallen in June 2004. I am particularly indebted to Prof. Dr. Karl Frauendorfer for supervising my work. I am grateful for his kind support in many respects and the generous freedom I received to pursue my own ideas in research. My gratitude also goes to Prof. Dr. Georg Pflug, who agreed to co-chair the dissertation committee. With pleasure I express my appreciation for his encouragement and continuing interest in my work |
| Analysis |
economie |
|
economics |
|
bedrijfswetenschap |
|
management science |
|
economische theorie |
|
economic theory |
|
operationeel onderzoek |
|
operations research |
|
optimalisatie |
|
optimization |
|
stochastische processen |
|
stochastic processes |
|
waarschijnlijkheidstheorie |
|
probability theory |
|
Management studies, Business Administration, Organizational Science (General) |
|
Economics (General) |
|
Management, bedrijfskunde, organisatiekunde (algemeen) |
|
Economie (algemeen) |
| Bibliography |
Includes bibliographical references (pages 175-181) and index |
| Notes |
Print version record |
| In |
Springer e-books |
| Subject |
Stochastic approximation.
|
|
Mathematical optimization.
|
|
Distribution (Probability theory)
|
|
Economics.
|
|
Operations research.
|
|
distribution (statistics-related concept)
|
|
economics.
|
|
Optimización matemática
|
|
Aproximación estocástica
|
|
Stochastic approximation
|
|
Distribution (Probability theory)
|
|
Economics
|
|
Mathematical optimization
|
|
Operations research
|
|
Stochastische programmering.
|
|
Convexe verzamelingen.
|
|
Benaderingen (wiskunde)
|
|
Algoritmen.
|
| Form |
Electronic book
|
|
