This is the first book devoted to the full scale of applications of stochastic programming, and to provide access to publicly available algorithmic systems. The 32 contributed papers are written by leading stochastic programming specialists and reflect the recent advanced research on algorithms and applications. The book consists of two parts: the first presents papers describing publicly available stochastic programming systems that are currently operational. All the codes have been extensively tested and developed and will appeal to researchers and developers wanting to make models without extensive programming and other implementation costs. The second part of the book is a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity. It contains the most complete collection of real applications using stochastic programming available in the literature.
- First book devoted to full scale applications of stochastic programming
- Provides access to publicly available algorithmic systems
- Contributions from leading specialists in stochastic programming
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Product details
- Date Published: June 2005
- format: Paperback
- isbn: 9780898715552
- length: 184 pages
- dimensions: 255 x 178 x 33 mm
- weight: 1.244kg
- availability: Available in limited markets only
Table of Contents
Preface
Part I. Stochastic Programming Codes:
1. Stochastic programming computer implementations Horand I. Gassmann, SteinW.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 János Mayer
7. Stochastic programming from modeling languages Emmanuel Fragnière and Jacek Gondzio
8. A stochastic programming integrated environment (SPInE) P. Valente, G. Mitra, and C. A. Poojari
9. Stochastic modelling and optimization using stochastics™ M. A. H. Dempster, J. E. Scott and G. W. P. Thompson
10. An integrated modelling environment for stochastic programming Horand I. Gassmann and David M. Gay
Part II. Stochastic Programming Applications:
11. Introduction to stochastic programming applications Horand I. Gassmann, Sandra L. Schwartz, SteinW. 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. Ortuño
14. A supply chain optimization model for the Norwegian meat cooperative A. Tomasgard and E. Høeg
15. Melt control: charge optimization via stochastic programming Jitka Dupacová 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. Flåm
19. Stochastic optimization for lake eutrophication management Alan J. King, László Somlyódy 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 Schürle
24. Optimization models for structuring index funds Stavros A. Zenios
25. Decentralized risk management for global P/C 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 CVaR and CDaR approaches: application to hedge funds P. Krokhma, S. Uryasev, and G. Zrazhevsky
30. Stochastic unit commitment in hydro-thermal power production planning Nicole Gröwe-Kuska and Werner Römisch
31. Valuation of electricity generation capacity Shi-Jie Deng and Shmuel S. Oren
32. Stochastic optimization problems in telecommunications Alexei A. Gaivoronski
Index.
Editors
Stein W. Wallace, Molde University College, Norway
William T. Ziemba, University of British Columbia, Vancouver