Lectures on Stochastic Programming. Modeling and Theory
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Author(s): A. Shapiro, D. Dentcheva and A. Ruszczynski
Publisher: SIAM
ISBN: 9780898716870
Format: softback
436pp
Price: $119.00
Review Date: 25 January 2010
Review: This book covers optimization problems that involve uncertain parameters for which stochastic models are available, concentrating on the theoretical foundations and recent advances in selected areas. There are seven chapters. The first addresses modelling issues and the basic concepts. The next two chapters give a detailed development of the theory of two-stage and multi-stage stochastic programming problems. The other chapters cover: Optimization models with probabilistic constraints; Statistical inference; Risk adverse optimization; and Background material. The book will be of interest to researchers who work in theory and applications of optimization. It could also form the basis of an advanced graduate course on the topic.