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Stochastic Linear Programming Algorithms

2022-04-19 Computers
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Release : 2022-04-19
Genre : Computers
Kind : eBook
Book Rating : 694/5 ( reviews)

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Book Synopsis Stochastic Linear Programming Algorithms by : Janos Mayer

Download or read book Stochastic Linear Programming Algorithms written by Janos Mayer. This book was released on 2022-04-19. Available in PDF, EPUB and Kindle. Book excerpt: A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches. The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems. The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.

Stochastic Linear Programming Algorithms

1998-02-25 Computers
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Release : 1998-02-25
Genre : Computers
Kind : eBook
Book Rating : 449/5 ( reviews)

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Book Synopsis Stochastic Linear Programming Algorithms by : Janos Mayer

Download or read book Stochastic Linear Programming Algorithms written by Janos Mayer. This book was released on 1998-02-25. Available in PDF, EPUB and Kindle. Book excerpt: A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches. The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems. The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.

Stochastic Decomposition

2013-11-27 Mathematics
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Release : 2013-11-27
Genre : Mathematics
Kind : eBook
Book Rating : 158/5 ( reviews)

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Book Synopsis Stochastic Decomposition by : Julia L. Higle

Download or read book Stochastic Decomposition written by Julia L. Higle. This book was released on 2013-11-27. Available in PDF, EPUB and Kindle. Book excerpt: Motivation Stochastic Linear Programming with recourse represents one of the more widely applicable models for incorporating uncertainty within in which the SLP optimization models. There are several arenas model is appropriate, and such models have found applications in air line yield management, capacity planning, electric power generation planning, financial planning, logistics, telecommunications network planning, and many more. In some of these applications, modelers represent uncertainty in terms of only a few seenarios and formulate a large scale linear program which is then solved using LP software. However, there are many applications, such as the telecommunications planning problem discussed in this book, where a handful of seenarios do not capture variability well enough to provide a reasonable model of the actual decision-making problem. Problems of this type easily exceed the capabilities of LP software by several orders of magnitude. Their solution requires the use of algorithmic methods that exploit the structure of the SLP model in a manner that will accommodate large scale applications.

Stochastic Linear Programming

2010-11-02 Mathematics
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Release : 2010-11-02
Genre : Mathematics
Kind : eBook
Book Rating : 295/5 ( reviews)

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Book Synopsis Stochastic Linear Programming by : Peter Kall

Download or read book Stochastic Linear Programming written by Peter Kall. This book was released on 2010-11-02. Available in PDF, EPUB and Kindle. Book excerpt: 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. To facilitate use as a text, exercises are included throughout the book, and web access is provided to a student version of the authors’ SLP-IOR software. Additionally, the authors have updated the Guide to Available Software, and they have included newer algorithms and modeling systems for SLP. 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. ... The authors have made an effort to collect ... the most useful recent ideas and algorithms in this area. ... A guide to the existing software is included as well." (Darinka Dentcheva, Mathematical Reviews, Issue 2006 c) "This is a graduate text in optimisation whose main emphasis is in stochastic programming. The book is clearly written. ... This is a good book for providing mathematicians, economists and engineers with an almost complete start up information for working in the field. I heartily welcome its publication. ... It is evident that this book will constitute an obligatory reference source for the specialists of the field." (Carlos Narciso Bouza Herrera, Zentralblatt MATH, Vol. 1104 (6), 2007)

Computational Stochastic Programming

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Kind : eBook
Book Rating : 640/5 ( reviews)

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Book Synopsis Computational Stochastic Programming by : Lewis Ntaimo

Download or read book Computational Stochastic Programming written by Lewis Ntaimo. This book was released on . Available in PDF, EPUB and Kindle. Book excerpt:

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