Research Catalog

Title

Applications of stochastic programming / edited by Stein W. Wallace and William T. Ziemba.

Publication

Philadelphia, PA : Society for Industrial and Applied Mathematics : Mathematical Programming Society, 2005.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Wallace, Stein W., 1956-
• Ziemba, W. T.

Description

xv, 709 pages : illustrations; 26 cm.

Summary

"This is the first book devoted to the full scale of applications of stochastic programming and also the first to provide access to publicly available algorithmic systems. The 32 contributed papers in this volume are written by leading stochastic programming specialists and reflect the high level of activity in recent years in research on algorithms and applications. The book introduces the power of stochastic programming to a wider audience and demonstrates the application areas where this approach is superior to other modeling approaches." "Researchers in stochastic programming will find this book an excellent source of publicly available codes. Those interested in creating their own applications, and those looking for real applications to introduce stochastic programming in the classroom, will find the book a valuable resource."--BOOK JACKET.

Series Statement

MPS-SIAM series on optimization

Uniform Title

MPS-SIAM series on optimization.

Subject

• Stochastic programming

Bibliography (note)

• Includes bibliographical references and index.

Contents

1. Stochastic programming computer implementations / Horand I. Gassmann, Stein W. Wallace and William T. Ziemba -- 2. The SMPS format for stochastic linear programs / Horand I. Gassmann -- 3. The IBM stochastic programming system / Alan J. King, Stephen E. Wright, Gyana R. Parija and Robert Entriken -- 4. SQG : software for solving stochastic programming problems with stochastic quasi-gradient methods / Alexei A. Gaivoronski -- 5. Computational grids for stochastic programming / Jeff Linderoth and Stephen J. Wright -- 6. Building and solving stochastic linear programming models with SLP-IOR / Peter Kall and Janos Mayer -- 7. Stochastic programming from modeling languages / Emmanuel Fragniere and Jacek Gondzio -- 8. A stochastic programming integrated environment / P. Valente, G. Mitra and C. A. Poojari -- 9. Stochastic modeling and optimization using stochastics / M. A. H. Dempster, J. E. Scott and G. W. P. Thompson -- 10. An integrated modeling environment for stochastic programming / Horand I. Gassmann and David M. Gay -- 11. Introduction to stochastic programming applications / Horand I. Gassmann, Sandra L. Schwartz, Stein W. Wallace and William T. Ziemba -- 12. Fleet management / Warren B. Powell and Huseyin Topaloglu -- 13. Modeling production planning and scheduling under uncertainty / A. Alonso-Ayuso, L. F. Escudero and M. T. Ortuno -- 14. A supply chain optimization model for the Norwegian meat cooperative / A. Tomasgard and E. Hoeg -- 15. Melt control : charge optimization via stochastic programming / Jitka Dupacova and Pavel Popela -- 16. A stochastic programming model for network resource utilization in the presence of multiclass demand uncertainty / Julia L. Higle and Suvrajeet Sen -- 17. Stochastic optimization and yacht racing / A. B. Philpott -- 18. Stochastic approximation, momentum, and Nash play / H. Berglann and S. D. Flam -- 19. Stochastic optimization for lake eutrophication management / Alan J. King, Laszlo Somlyody and Roger J.-B. Wets -- 20. Mitigating anthropogenic climate change / Gary W. Yohe -- 21. Groundwater pollution control / David W. Watkins, Jr., Daene C. McKinney and David P. Morton -- 22. Catastrophic risk management : flood and seismic risks case studies / Tatiana Ermolieva and Yuri Ermoliev -- 23. Refinancing mortgages in Switzerland / Karl Frauendorfer and Michael Schurle -- 24. Optimization models for structuring index funds / Stavros A. Zenios -- 25. Decentralized risk management for global property and casualty insurance companies / John M. Mulvey and Hafize Gaye Erkan -- 26. Wealth goals investing / Leonard C. MacLean, Yonggan Zhao and William T. Ziemba -- 27. Scenario-based risk management tools / Helmut Mausser and Dan Rosen -- 28. Price protection strategies for an oil company / E. A. Medova and A. Sembos -- 29. Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches : application to hedge funds / P. Krokhmal, S. Uryasev and G. Zrazhevsky -- 30. Stochastic unit commitment in hydrothermal power production planning / Nicole Growe-Kuska and Werner Romisch -- 31. Valuation of electricity generation capacity / Shi-Jie Deng and Shmuel S. Oren -- 32. Stochastic optimization problems in telecommunications / Alexei A. Gaivoronski.

ISBN

0898715555 (pbk.)

LCCN

2005042538

OCLC

• ocm57594756
• SCSB-5208586

Owning Institutions

Columbia University Libraries