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Dynamic Stochastic Optimization (Lecture Notes in Economics and Mathematical Systems)

Dynamic Stochastic Optimization (Lecture Notes in Economics and Mathematical Systems)

2521915
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Описание
Book DescriptionThis volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented. Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.