Stochastic Linear Programming Properties

Peter Kall, Janos Mayer, «Stochastic Linear Programming Properties, Solution Methods, and Applications»
Springer | ISBN 0387233857 | February 2005 | PDF | 416 Pages | 17,0 Mb

Peter Kall and János Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. Stochastic Linear Programming: Models, Theory, and Computation is a definitive presentation and discussion of the theoretical properties of the models, the conceptual algorithmic approaches, and the computational issues relating to the implementation of these methods to solve problems that are stochastic in nature. The application area of stochastic programming includes portfolio analysis, financial optimization, energy problems, random yields in manufacturing, risk analysis, etc. In this book, models in financial optimization and risk analysis are discussed as examples, including solution methods and their implementation.
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