Stochastic Programming: The State of the Art in Honor of George B. Dantzig

Book Overview

Linear Programming Under Uncertainty.- A Probabilistic Lower Bound for Two-Stage Stochastic Programs.- Simulation-Based Optimality Tests for Stochastic Programs.- Stochastic Decomposition and Extensions.- Barycentric Bounds in Stochastic Programming: Theory and Application.- Stochastic Programming Apporximations Using Limited Moment Information, with Application to Asset Allocation.- Stability and Scenario Trees for Multistage Stochastic Programs.- Risk Aversion in Two-Stage Stochastic Integer Programming.- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints.- Single Period Mean-Variance Analysis in a Changing World.- Mean-Absolute Deviation Model.- Multi-Stage Financial Planning Models: Integrating Stochastic Programs and Policy Simulators.- Growth-Security Models and Stochastic Dominance.- Production Planning Under Supply and Demand Uncertainty: A Stochastic Programming Approach.- Global Climate Decisions under Uncertainty.- Control of Diffusions via Linear Programming.

• Format: Paperback
• Language: English
• ISBN: 1461427622
• ISBN13: 9781461427629
• Release Date: December 2012
• Publisher: Springer
• Length: 362 Pages
• Weight: 1.19 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"