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Stochastic Programming

Author: A Prékopa
Publisher: Dordrecht : Springer Netherlands, 1995.
Series: Mathematics and Its Applications, 324.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Stochastic programming - the science that provides us with tools to design and control stochastic systems with the aid of mathematical programming techniques - lies at the intersection of statistics and mathematical programming. The book Stochastic Programming is a comprehensive introduction to the field and its basic mathematical tools. While the mathematics is of a high level, the developed models offer powerful  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: A Prékopa
ISBN: 9789401730877 9401730873
OCLC Number: 851381687
Description: 1 online resource (xviii, 599 pages).
Contents: 1 General Theory of Linear Programming --
2 Convex Polyhedra --
3 Special Problems and Methods --
4 Logconcave and Quasi-Concave Measures --
5 Moment Problems --
6 Bounding and Approximation of Probabilities --
7 Statistical Decisions --
8 Static Stochastic Programming Models --
9 Solutions of the Simple Recourse Problem --
10 Convexity Theory of Probabilistic Constrained Problems --
11 Programming under Probabilistic Constraint and Maximizing Probabilities under Constraints --
12 Two-Stage Stochastic Programming Problems --
13 Multi-Stage Stochastic Programming Problems --
14 Special Cases and Selected Applications --
15 Distribution Problems --
Appendix. The Multivariate Normal Distribution --
Author Index.
Series Title: Mathematics and Its Applications, 324.
Responsibility: by András Prékopa.

Abstract:

Stochastic programming - the science that provides us with tools to design and control stochastic systems with the aid of mathematical programming techniques - lies at the intersection of statistics and mathematical programming. The book Stochastic Programming is a comprehensive introduction to the field and its basic mathematical tools. While the mathematics is of a high level, the developed models offer powerful applications, as revealed by the large number of examples presented. The material ranges form basic linear programming to algorithmic solutions of sophisticated systems problems and applications in water resources and power systems, shipbuilding, inventory control, etc. Audience: Students and researchers who need to solve practical and theoretical problems in operations research, mathematics, statistics, engineering, economics, insurance, finance, biology and environmental protection.

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