TY  - BOOK
AU  - Pflug,Georg Ch
AU  - Pichler,Alois
ED  - SpringerLink (Online service)
TI  - Multistage Stochastic Optimization
T2  - Springer Series in Operations Research and Financial Engineering,
SN  - 9783319088433
AV  - HD30.23 
U1  - 658.40301 23
PY  - 2014///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - Business
KW  - Operations research
KW  - Decision making
KW  - Mathematical optimization
KW  - Management science
KW  - Business and Management
KW  - Operation Research/Decision Theory
KW  - Operations Research, Management Science
KW  - Optimization
N1  - Introduction -- The Nested Distance -- Risk and Utility Functionals -- From Data to Models -- Time Consistency -- Approximations and Bounds -- The Problem of Ambiguity in Stochastic Optimization -- Examples
N2  - 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
UR  - http://dx.doi.org/10.1007/978-3-319-08843-3
ER  -