Numerical Techniques For Stochastic Optimization

This is a comprehensive and timely overview of the numerical techniques that have been developed to solve stochastic programming problems. After a brief introduction to the field, where the accent is laid on modeling questions, the next few chapters lay out the challenges that must be met in this area. They also provide the background for the description of the computer implementations given in the third part of the book. Selected applications are described next. Some of these have directly motivated the development of the methods described in the earlier chapters. They include problems that come from facilities location, exploration investments, control of ecological systems, energy distribution and generation. Test problems are collected in the last chapter. This is the first book devoted to this subject. It comprehensively covers all major advances in the field (both Western and Russian). It is only because of the recent developments in computer technology, that we have now reached a point where our computing power matches the inherent size requirements faced in this area. The book demonstrates that a large class of stochastic programming problems are now in the range of our numerical capacities.