Research Catalog

Title

Stochastic linear programming : models, theory, and computation / Peter Kall, János Mayer.

Author

Kall, Peter.

Publication

New York : Springer Science, [2005], ©2005.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Mayer, János.

Description

xii, 397 pages : illustrations; 25 cm.

Summary

"Stochastic Linear Programming: Models, Theory, and Computation is a 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." "The Kall & Mayer book will be particularly useful in presenting solution methods including their solid theoretical basis and their computational issues, based in many cases on implementations by the authors. The book is also suitable for advanced courses in stochastic optimization."--BOOK JACKET.

Series Statement

International series in operations research & management science ; 80

Uniform Title

International series in operations research & management science ; 80.

Subjects

• Stochastic processes
• Linear programming

Bibliography (note)

• Includes bibliographical references (p. [375]-393) and index.

Contents

1. Basics -- 2. Single-stage SLP models -- 3. Multi-stage SLP models -- 4. Algorithms.

ISBN

0387233857

LCCN

2004066228

OCLC

• ocm57392269
• SCSB-5190786

Owning Institutions

Columbia University Libraries