Dynamic Stochastic Optimization

Lecture Notes in Economics and Mathematical Systems , Vol. 532

Kurt Marti, Yur Ermoliev, Georg Pflug

336 pages, parution le 13/11/2003

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Résumé

This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented.
Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.

Written for:
Scientists

Part I. Dynamic Decision Problems under Uncertainty: Modeling Aspects
- Reflections on Output Analysis for Multistage Stochastic Linear Programs
- Modeling Support for Multistage Recourse Problems
- Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains
- Approximation and Optimization for Stochastic Networks
Part II. Dynamic Stochastic Optimization in Finance
- Optimal Stopping Problem and Investment Models
- Estimating LIBOR/Swaps Spot-Volatilities: the EpiVolatility Model
- Structured Products for Pension Funds
Part III. Optimal Control Under Stochastic Uncertainty
- Real-time Robust Optimal Trajectory Planning of Industrial Robots
- Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC) for Robots
- Part IV. Tools for Dynamic Stochastic Optimization
- Solving Stochastic Programming Problems by Successive Regression Approximations - Numerical Results
- Stochastic Optimization of Risk Functions via Parametric Smoothing
- Optimization under Uncertainty using Momentum
- Perturbation Analysis of Chance-constrained Programs under Variation of all Constraint Data
- The Value of Perfect Information as a Risk Measure
- New Bounds and Approximations for the Probability Distribution of the Length of the Critical Path
- Simplification of Recourse Models by Modification of Recourse Data

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Kurt Marti, Yur Ermoliev, Georg Pflug
Parution	13/11/2003
Nb. de pages	336
Format	15,5 x 23,5
Couverture	Broché
Poids	535g
Intérieur	Noir et Blanc
EAN13	9783540405061