Modelling and solution methods for stochastic optimisation: Computational methods for optimisation under uncertainty - Softcover

Zverovich, Victor

 
9783659255762: Modelling and solution methods for stochastic optimisation: Computational methods for optimisation under uncertainty
Softcover
ISBN 10: 3659255769 ISBN 13: 9783659255762
Publisher: LAP LAMBERT Academic Publishing, 2012

Synopsis

Stochastic programming (SP) is an area of mathematical optimisation which deals with problems that involve uncertainty. Its foundation was laid out by a seminal work of Dantzig published in 1955 which introduced linear programming under uncertainty. In this book we consider two research problems, namely, (i) language constructs for modelling SP problems and (ii) solution methods for processing instances of different classes of SP problems. We first describe a new design of an SP modelling system which provides greater extensibility and reuse. We also investigate in detail the following important classes of SP problems: single-stage SP with risk constraints, two-stage linear and stochastic integer programming problems.

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About the Author

Dr Zverovich received his PhD in 2011 from Brunel University, UK. His main research interests are stochastic programming and algebraic modelling languages. He is currently working at AMPL, a leading provider of modelling software for mathematical optimisation.

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Publisher
LAP LAMBERT Academic Publishing
Publication date
2012
Language
English
ISBN 10 
3659255769
ISBN 13 
9783659255762
Binding
Paperback
Number of pages
168