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Probabilistic Constrained Optimization: Methodology and Applications - Softcover

 
9781475731514: Probabilistic Constrained Optimization: Methodology and Applications

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Synopsis

Preface. Introduction to the Theory of Probabilistic Functions and Percentiles; S. Uryasev. Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights; M. Broadie, et al. On Optimization of Unreliable Material Flow Systems; Y. Ermoliev, et al. Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts; K. Frauendorfer, M. Schürle. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis; A.N. Golodnikov, et al. Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems; Y.S. Kan, A.I. Kibzun. On Maximum Realiability Problem in Parallel-Series Systems with Two Failure Modes; V. Kirilyuk. Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses; A. Kreinin, A. Levin. Structure of Optimal Stopping Strategies for American Type Options; A.G. Kukush, D.S. Silvestrov. Approximation of Value-at-Risk Problems with Decision Rules; R. Lepp. Managing Risk with Expected Shortfall; H. Mausser, D. Rosen. On the Numerical Solution of Jointly Chance Constrained Problems; J. Mayer. Management of Quality of Service through Chance-constraints in Multimedia Networks; E.A. Medova, J.E. Scott. Solution of a Product Substitution Problem Using Stochastic Programming; M.R. Murr, A. Prékopa. Some Remarks on the Value-at-Risk and the Conditional Value-at-risk; G.Ch. Pflug. Statistical Inference of Stochastic Optimization Problems; A. Shapiro.

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  • PublisherSpringer
  • Publication date2012
  • ISBN 10 1475731515
  • ISBN 13 9781475731514
  • BindingPaperback
  • LanguageEnglish
  • Number of pages320
  • EditorUryasev Stanislav

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Other Popular Editions of the Same Title

9780792366447: Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications, 49)

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ISBN 10:  0792366441 ISBN 13:  9780792366447
Publisher: Springer, 2000
Hardcover