Stochastic Programming: Applications in Finance, Energy, Planning and Logistics (World Scientific Series in Finance): Innovation Lessons from Industry Leaders: 2nd Edition: 4 - Hardcover

Horand I. Gassmann

Hardcover

ISBN 10: 981440750X ISBN 13: 9789814407502

Publisher: World Scientific Publishing Co Pte Ltd, 2012

Synopsis

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications which were presented at the 12th International Conference on "Stochastic Programming" held in Halifax, Nova Scotia in August 2010 span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, theory papers discuss mobile network design and assignment problems.

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Review

"The solution and the modeling of stochastic programming problems relies on a wide swath of disciplines ranging from Optimization, Variational and Functional Analysis, Probability and Statistics, Economics, Computer Sciences, not forgetting the use of truly creative heuristics. Not surprisingly, the development of the field often took a back seat to other more 'accessible' areas in mathematical programming. Eventually however, the realization that nearly all important decision problems involve some level of uncertainty about some of the parameters, couldn't really be ignored. These proceedings, by featuring a wide range of important applications, pay tribute to what in the final analysis, motivates the efforts of what by now has become a significant community." -- Roger Wets, Distinguished Research Professor, University of California

"Methodological advancements in stochastic programming, coupled with modern computational capabilities, now provide invaluable toolsets for addressing complex decision problems under uncertainty. This volume showcases state-of-the-art models and solution methods for a range of practical applications. It is a highly recommended and valuable reference for researchers and practitioners alike." -- Hercules Vladimirou, Professor of Management Science, Chairman, Department of Public and Business Administration, University of Cyprus

"Like its predecessor volumes, this conference proceedings is an up-to-date record of the current status of the maturing field of stochastic programming. Its advance is supported here by articles which report on practical applications in finance, production, logistics, energy and telecommunications. The result is a current and invaluable collection for both academics and practitioners which will stimulate further widening of this important field." --M A H Dempster, Professor Emeritus, Center for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge & Cambridge Systems Associates Limited, Cambridge UK

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 2012
• ISBN 10: 981440750X
• ISBN 13: 9789814407502
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 400
• Editor: Horand I. Gassmann, William T. Ziemba