计算机科学
数理经济学
应用数学
牙石(牙科)
数学
医学
牙科
作者
Alexander Shapiro,Darinka Dentcheva,Andrzej Ruszczyński
出处
期刊:Society for Industrial and Applied Mathematics eBooks
[Society for Industrial and Applied Mathematics]
日期:2014-01-01
被引量:415
标识
DOI:10.1137/1.9781611973433
摘要
Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. In Lectures on Stochastic Programming: Modeling and Theory, Second Edition, the authors introduce new material to reflect recent developments in stochastic programming, including: an analytical description of the tangent and normal cones of chance constrained sets; analysis of optimality conditions applied to nonconvex problems; a discussion of the stochastic dual dynamic programming method; an extended discussion of law invariant coherent risk measures and their Kusuoka representations; and in-depth analysis of dynamic risk measures and concepts of time consistency, including several new results. Audience: This book is intended for researchers working on theory and applications of optimization. It also is suitable as a text for advanced graduate courses in optimization.
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