Mohlo by se vám také líbit

Více informací o knize Generalized Bounds for Convex Multistage Stochastic Programs

• Parametry knihy
• Anotace
• Oblíbené z jiného soudku

Nákupem získáte 135 bodů

Anotace knihy

This book investigates convex multistage stochastic programs whose objective and constraint functions exhibit a generalized nonconvex dependence on the random parameters. Although the classical Jensen and Edmundson-Madansky type bounds or their extensions are generally not available for such problems, tight bounds can systematically be constructed under mild regularity conditions. A distinct primal-dual symmetry property is revealed when the proposed bounding method is applied to linear stochastic programs. Exemplary applications are studied to assess the performance of the theoretical concepts in situations of practical relevance. It is shown how market power, lognormal stochastic processes,and risk-aversion can be properly handled in a stochastic programming framework. Numerical experiments show that the relative gap between the bounds can typically be reduced to a few percent at reasonable problem dimensions.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Generalized Bounds for Convex Multistage Stochastic Programs
• Autor: D. Kuhn
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 190
• EAN: 9783540225409
• ISBN: 3540225404
• ID: 01559633
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 334 g
• Rozměry: 236 × 158 × 13 mm
• Datum vydání: 19. October 2004

Oblíbené z jiného soudku

---

---

---