Dynamic Stochastic Optimization

by Kurt Marti (Editor), Yuri Ermoliev (Editor), Georg Ch. Pflug (Editor)

I. Dynamic Decision Problems under Modeling Aspects.- Reflections on Output Analysis for Multistage Stochastic Linear Programs.- Modeling Support for Multistage Recourse Problems.- Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains.- Approximation and Optimization for Stochastic Networks.- II. Dynamic Stochastic Optimization in Finance.- Optimal Stopping Problem and Investment Models.- Estimating LIBOR/Swaps the EpiVolatility Model.- Structured Products for Pension Funds.- III. Optimal Control Under Stochastic Uncertainty.- Real-time Robust Optimal Trajectory Planning of Industrial Robots.- Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC) for Robots.- IV. Tools for Dynamic Stochastic Optimization.- Solving Stochastic Programming Problems by Successive Regression Approximations - Numerical Results.- Stochastic Optimization of Risk Functions via Parametric Smoothing.- Optimization under Uncertainty using Momentum.- Perturbation Analysis of Chance-constrained Programs under Variation of all Constraint Data.- The Value of Perfect Information as a Risk Measure.- New Bounds and Approximations for the Probability Distribution of the Length of the Critical Path.- Simplification of Recourse Models by Modification of Recourse Data.

348 pages, Paperback

First published January 12, 2003

About the author

Kurt Marti was a Swiss theologian and poet. His poetry often has theological and religious aspects to it. He is also known for dialect literature said to have intellectual quality.