Kall, Peter.
Stochastic linear programming models, theory, and computation Peter Kall, János Mayer. - Second edition first reprint - xx, 426 pages Illustrations 24 cm. - International series in operations research & management science 156 .
Includes bibliographical references (p. 383-403) and index.
Notations -- Introduction -- Linear Programming Prerequisites -- Nonlinear Programming Prerequisites -- Single-stage SLP models -- Models involving probability functions -- Quantile functions, Value at Risk -- Models based on expectation -- Models built with deviation measures -- Modeling risk and opportunity -- Risk measures -- SLP models with recourse -- The general multi-stage SLP -- The two-stage SLP Properties and solution appraoches -- The multi-stage SLP -- Algorithms -- Single-stage models with separate probability functions -- Single-stage models with joint probability functions -- Single-stage models based on expectation -- Single-stage models involving VaR -- Single-stage models with deviation measures -- Two-stage recourse models -- Multistage recourse models -- Modeling systems for SLP -- References --
9781461427452
2010938300
Linear programming.
Stochastic processes.
Programacion lineal
Procesos estocasticos
T57.74 / .K35 2011
519.7 / K125s
Stochastic linear programming models, theory, and computation Peter Kall, János Mayer. - Second edition first reprint - xx, 426 pages Illustrations 24 cm. - International series in operations research & management science 156 .
Includes bibliographical references (p. 383-403) and index.
Notations -- Introduction -- Linear Programming Prerequisites -- Nonlinear Programming Prerequisites -- Single-stage SLP models -- Models involving probability functions -- Quantile functions, Value at Risk -- Models based on expectation -- Models built with deviation measures -- Modeling risk and opportunity -- Risk measures -- SLP models with recourse -- The general multi-stage SLP -- The two-stage SLP Properties and solution appraoches -- The multi-stage SLP -- Algorithms -- Single-stage models with separate probability functions -- Single-stage models with joint probability functions -- Single-stage models based on expectation -- Single-stage models involving VaR -- Single-stage models with deviation measures -- Two-stage recourse models -- Multistage recourse models -- Modeling systems for SLP -- References --
9781461427452
2010938300
Linear programming.
Stochastic processes.
Programacion lineal
Procesos estocasticos
T57.74 / .K35 2011
519.7 / K125s