Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Managing Risk Using Multi Stage Stochastic Optimization full books in PDF, epub, and Kindle. Read online Managing Risk Using Multi Stage Stochastic Optimization ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Gerd Infanger
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.F/5 ( download)
Download or read book Managing Risk Using Multi-stage Stochastic Optimization written by Gerd Infanger and published by . This book was released on 1999 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georg Ch. Pflug
Publisher : Springer
ISBN 13 : 3319088432
Total Pages : 309 pages
Book Rating : 4.3/5 (19 download)
Download or read book Multistage Stochastic Optimization written by Georg Ch. Pflug and published by Springer. This book was released on 2014-11-12 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.
Author : Frederike Neise
Publisher : Springer Science & Business Media
ISBN 13 : 3834895369
Total Pages : 107 pages
Book Rating : 4.8/5 (348 download)
Download or read book Risk Management in Stochastic Integer Programming written by Frederike Neise and published by Springer Science & Business Media. This book was released on 2008-09-25 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author presents two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem. She describes mean-risk modeling and stochastic programming with first order dominance constraints. Both approaches are applied to optimize the operation of a dispersed generation system.
Author : Robert Ferstl
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Cash Management Using Multi-Stage Stochastic Programming written by Robert Ferstl and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a cash management problem where a company with a given financial endowment and future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic linear program (SLP). The company can rebalance the portfolio at every stage and choose between a riskless asset (cash), several default- and option-free bonds, and an equity investment. The uncertainty is reflected in the development of interest rates and equity returns.Our model has two new features compared to the existing literature, which uses no-arbitrage interest rate models for the scenario generation. First, we explicitly estimate a function for the market price of risk and change the underlying probability measure. Second, we simulate scenarios for equity returns with moment-matching by an extension of the interest rate scenario tree.
Author : Tadeusz Sawik
Publisher : Springer Nature
ISBN 13 : 3031579275
Total Pages : 370 pages
Book Rating : 4.0/5 (315 download)
Download or read book Stochastic Programming in Supply Chain Risk Management written by Tadeusz Sawik and published by Springer Nature. This book was released on with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steffen Rebennack
Publisher : Springer Science & Business Media
ISBN 13 : 3642126863
Total Pages : 504 pages
Book Rating : 4.6/5 (421 download)
Download or read book Handbook of Power Systems II written by Steffen Rebennack and published by Springer Science & Business Media. This book was released on 2010-08-26 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy is one of the world`s most challenging problems, and power systems are an important aspect of energy related issues. This handbook contains state-of-the-art contributions on power systems modeling and optimization. The book is separated into two volumes with six sections, which cover the most important areas of energy systems. The first volume covers the topics operations planning and expansion planning while the second volume focuses on transmission and distribution modeling, forecasting in energy, energy auctions and markets, as well as risk management. The contributions are authored by recognized specialists in their fields and consist in either state-of-the-art reviews or examinations of state-of-the-art developments. The articles are not purely theoretical, but instead also discuss specific applications in power systems.
Author : Alexander Shapiro
Publisher : SIAM
ISBN 13 : 0898718759
Total Pages : 447 pages
Book Rating : 4.8/5 (987 download)
Download or read book Lectures on Stochastic Programming written by Alexander Shapiro and published by SIAM. This book was released on 2009-01-01 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.
Author : Tsvetan Asamov
Publisher :
ISBN 13 :
Total Pages : 91 pages
Book Rating : 4.:/5 (87 download)
Download or read book Time-consistent Approximations of Risk-averse Multistage Stochastic Optimization Problems written by Tsvetan Asamov and published by . This book was released on 2013 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work we study the concept of time consistency as it relates to multistage risk-averse stochastic optimization problems on finite scenario trees. We use dynamic time-consistent formulations to approximate problems having a single global coherent risk measure applied to the aggregated costs over all time periods. The duality of coherent risk measures is employed to create a time-consistent cutting plane algorithm for the construction of non-parametric time-consistent approximations where every one- step conditional risk measure is specified only by its dual representation. Moreover, we show that the method can be extended to generate parametric approximations involving compositions of risk measures from a specified family. Additionally, we also consider the case when the objective function is the mean-upper semideviation measure of risk and develop methods for the construction of universal time-consistent upper bounding functions. We prove that such functions provide time-consistent upper bounds to the global risk measure for an arbitrary feasible policy. Finally, the quality of the approximations generated by the proposed methods is analyzed in multiple computational experiments involving two-stage scenario trees with both artificial data, as well as stock return data for the components of the Dow Jones Industrial Average stock market index. Our numerical results indicate that the dynamic time-consistent formulations closely approximate the original problem for a wide range of risk aversion parameters.
Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475765940
Total Pages : 438 pages
Book Rating : 4.4/5 (757 download)
Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.
Author : Georg Ch Pflug
Publisher : World Scientific
ISBN 13 : 9814475262
Total Pages : 303 pages
Book Rating : 4.8/5 (144 download)
Download or read book Modeling, Measuring And Managing Risk written by Georg Ch Pflug and published by World Scientific. This book was released on 2007-08-13 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.
Author : Gerd Infanger
Publisher : Boyd & Fraser Publishing Company
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.F/5 ( download)
Download or read book Planning Under Uncertainty written by Gerd Infanger and published by Boyd & Fraser Publishing Company. This book was released on 1994 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. N. Palaniappa Subramanian
Publisher :
ISBN 13 :
Total Pages : 302 pages
Book Rating : 4.:/5 (312 download)
Download or read book Optimization of Some Multistage Stochastic Management Systems written by S. N. Palaniappa Subramanian and published by . This book was released on 1969 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan J. King
Publisher : Springer Science & Business Media
ISBN 13 : 0387878173
Total Pages : 189 pages
Book Rating : 4.3/5 (878 download)
Download or read book Modeling with Stochastic Programming written by Alan J. King and published by Springer Science & Business Media. This book was released on 2012-06-19 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: While there are several texts on how to solve and analyze stochastic programs, this is the first text to address basic questions about how to model uncertainty, and how to reformulate a deterministic model so that it can be analyzed in a stochastic setting. This text would be suitable as a stand-alone or supplement for a second course in OR/MS or in optimization-oriented engineering disciplines where the instructor wants to explain where models come from and what the fundamental issues are. The book is easy-to-read, highly illustrated with lots of examples and discussions. It will be suitable for graduate students and researchers working in operations research, mathematics, engineering and related departments where there is interest in learning how to model uncertainty. Alan King is a Research Staff Member at IBM's Thomas J. Watson Research Center in New York. Stein W. Wallace is a Professor of Operational Research at Lancaster University Management School in England.
Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080478204
Total Pages : 509 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
Author : Stephan Tiedemann
Publisher : Cuvillier Verlag
ISBN 13 : 3865373666
Total Pages : 125 pages
Book Rating : 4.8/5 (653 download)
Download or read book Risk Measures with Preselected Tolerance Levels in Two-stage Stochastic Mixed-integer Programming written by Stephan Tiedemann and published by Cuvillier Verlag. This book was released on 2005 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raimund M. Kovacevic
Publisher : Springer Science & Business Media
ISBN 13 : 1461490359
Total Pages : 506 pages
Book Rating : 4.4/5 (614 download)
Download or read book Handbook of Risk Management in Energy Production and Trading written by Raimund M. Kovacevic and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.
Author : Horand I Gassmann
Publisher : World Scientific
ISBN 13 : 9814407526
Total Pages : 549 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Programming: Applications In Finance, Energy, Planning And Logistics written by Horand I Gassmann and published by World Scientific. This book was released on 2012-11-28 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, prevention of 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, two telecommunication papers discuss mobile network design and frequency assignment problems./a
