Stochastic programming : applications in finance, energy, planning and logistics
著者
書誌事項
Stochastic programming : applications in finance, energy, planning and logistics
（World Scientific series in finance, v. 4）
World Scientific, c2013
大学図書館所蔵 全7件
内容説明・目次
内容説明
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
目次
- Finance: Longevity Risk Management for Individual Investors
- Optimal SP-Based Personal Financial Planning with Intermediate and Long Term Goals
- Intertemporal Surplus Management with Jump Risks
- Jump-Diffusion Risk-Sensitive Benchmarked Asset Management
- Dynamic Portfolio Optimization Under Regime-Based Firm Strength
- Options Portfolio Management as a Chance Constrained Problem
- Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios Under Some Sources of Uncertainty
- Stochastic Programming and Optimization in Horserace Betting
- Production Planning and Logistics: Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective
- Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon
- Prioritizing Network Interdiction of Nuclear Smuggling
- Sawmill Production Planning Under Uncertainty: Modelling and Solution Approaches
- Energy: An Electricity Procurement Model with Energy and Peak Charges
- Value of Flexibility in Hydroelectric Reservoir Operations
- Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants
- Theory Papers: Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks
- Stochastic Frequency Assignment Problem.
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