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Stochastic Programming

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概要 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 a...nd 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.続きを見る
目次 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.
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登録日 2020.06.27
更新日 2020.06.28