The Resource Dynamic Stochastic Optimization, edited by Kurt Marti, Yuri Ermoliev, Georg Ch. Pflug, (electronic resource)

Dynamic Stochastic Optimization, edited by Kurt Marti, Yuri Ermoliev, Georg Ch. Pflug, (electronic resource)

Label
Dynamic Stochastic Optimization
Title
Dynamic Stochastic Optimization
Statement of responsibility
edited by Kurt Marti, Yuri Ermoliev, Georg Ch. Pflug
Contributor
Editor
Editor
Subject
Language
  • eng
  • eng
Summary
Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic­ itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec­ tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci­ sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu­ tions. Objective and constraint functions of dynamic stochastic optimization problems have the form of multidimensional integrals of rather involved in­ that may have a nonsmooth and even discontinuous character - the tegrands typical situation for "hit-or-miss" type of decision making problems involving irreversibility ofdecisions or/and abrupt changes ofthe system. In general, the exact evaluation of such functions (as is assumed in the standard optimization and control theory) is practically impossible. Also, the problem does not often possess the separability properties that allow to derive the standard in control theory recursive (Bellman) equations
Member of
Dewey number
003
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsedt
  • 9upI8S452lU
  • F_Rq0H4wPec
  • ut838hvk8iA
Image bit depth
0
Language note
English
LC call number
  • Q295
  • QA402.3-402.37
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Marti, Kurt.
  • Ermoliev, Yuri.
  • Pflug, Georg Ch.
Series statement
  • Lecture notes in economics and mathematical systems
  • Lecture Notes in Economics and Mathematical Systems,
Series volume
  • 532
  • 532
http://library.link/vocab/subjectName
  • Systems theory
  • Operations research
  • Mathematical optimization
  • Systems Theory, Control
  • Operations Research/Decision Theory
  • Calculus of Variations and Optimal Control; Optimization
Label
Dynamic Stochastic Optimization, edited by Kurt Marti, Yuri Ermoliev, Georg Ch. Pflug, (electronic resource)
Instantiates
Publication
Note
Bibliographic Level Mode of Issuance: Monograph
Antecedent source
mixed
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Color
not applicable
Content category
text
Content type code
txt
Contents
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 -- 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 -- 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 -- 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
Dimensions
unknown
Edition
1st ed. 2004.
Extent
1 online resource (VIII, 336 p.)
File format
multiple file formats
Form of item
online
Isbn
9783642558849
Level of compression
uncompressed
Media category
computer
Media type code
c
Other control number
10.1007/978-3-642-55884-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)3400000000103849
  • (SSID)ssj0000805929
  • (PQKBManifestationID)11496374
  • (PQKBTitleCode)TC0000805929
  • (PQKBWorkID)10741525
  • (PQKB)11063659
  • (DE-He213)978-3-642-55884-9
  • (MiAaPQ)EBC3071196
  • (EXLCZ)993400000000103849
Label
Dynamic Stochastic Optimization, edited by Kurt Marti, Yuri Ermoliev, Georg Ch. Pflug, (electronic resource)
Publication
Note
Bibliographic Level Mode of Issuance: Monograph
Antecedent source
mixed
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
cr
Color
not applicable
Content category
text
Content type code
txt
Contents
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 -- 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 -- 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 -- 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
Dimensions
unknown
Edition
1st ed. 2004.
Extent
1 online resource (VIII, 336 p.)
File format
multiple file formats
Form of item
online
Isbn
9783642558849
Level of compression
uncompressed
Media category
computer
Media type code
c
Other control number
10.1007/978-3-642-55884-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)3400000000103849
  • (SSID)ssj0000805929
  • (PQKBManifestationID)11496374
  • (PQKBTitleCode)TC0000805929
  • (PQKBWorkID)10741525
  • (PQKB)11063659
  • (DE-He213)978-3-642-55884-9
  • (MiAaPQ)EBC3071196
  • (EXLCZ)993400000000103849

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