Stochastic Linear Programming Models, Theory, and Computation

The book is thus suitable as a text for advanced courses in stochastic optimization, and as a reference to the field. From Reviews of the First Edition: “The book presents a comprehensive study of stochastic linear optimization problems and their applications. … The presentation includes geometric interpretation, linear programming duality, and the simplex method in its primal and dual forms. …

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This new edition of Stochastic Linear Programming: Models, Theory and Computation has been brought completely up to date, either dealing with or at least referring to new material on models and methods, including DEA with stochastic outputs modeled via constraints on special risk functions (generalizing chance constraints, ICC’s and CVaR constraints), material on Sharpe-ratio, and Asset Liability Management models involving CVaR in a multi-stage setup.

 

Indian Ed ISBN: 9781071605134

Weight 1 kg
Dimensions 24 × 15 × 3 cm
Book Author

János Mayer, Peter Kall

Edition

1st

Format

Paperback

ISBN

9781071605134, 9781461427452

Language

English

Pages

446

Publication Year

Publisher

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