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Author: Stanislav Uryasev
Publisher: Springer Science & Business Media
ISBN: 1475731507
Category : Mathematics
Languages : en
Pages : 319
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Book Description
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
Author: Stanislav Uryasev
Publisher: Springer Science & Business Media
ISBN: 1475731507
Category : Mathematics
Languages : en
Pages : 319
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Book Description
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
Author: Giuseppe Calafiore
Publisher: Springer
ISBN: 9781849965521
Category : Technology & Engineering
Languages : en
Pages : 0
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Book Description
Probabilistic and Randomized Methods for Design under Uncertainty is a collection of contributions from the world’s leading experts in a fast-emerging branch of control engineering and operations research. The book will be bought by university researchers and lecturers along with graduate students in control engineering and operational research.
Author: Giuseppe C. Calafiore
Publisher: Cambridge University Press
ISBN: 1107050871
Category : Business & Economics
Languages : en
Pages : 651
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Book Description
This accessible textbook demonstrates how to recognize, simplify, model and solve optimization problems - and apply these principles to new projects.
Author: S. Vajda
Publisher: Academic Press
ISBN: 1483268373
Category : Mathematics
Languages : en
Pages : 140
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Book Description
Probabilistic Programming discusses a high-level language known as probabilistic programming. This book consists of three chapters. Chapter I deals with "wait-and-see problems that require waiting until an observation is made on the random elements, while Chapter II contains the analysis of decision problems, particularly of so-called two-stage problems. The last chapter focuses on "chance constraints, such as constraints that are not expected to be always satisfied, but only in a proportion of cases or "with given probabilities. This text specifically deliberates the decision regions for optimality, probability distributions, Kall's Theorem, and two-stage programming under uncertainty. The complete problem, active approach, quantile rules, randomized decisions, and nonzero order rules are also covered. This publication is suitable for developers aiming to define and automatically solve probability models.
Author: Aharon Ben-Tal
Publisher: Princeton University Press
ISBN: 1400831059
Category : Mathematics
Languages : en
Pages : 565
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Book Description
Robust optimization is still a relatively new approach to optimization problems affected by uncertainty, but it has already proved so useful in real applications that it is difficult to tackle such problems today without considering this powerful methodology. Written by the principal developers of robust optimization, and describing the main achievements of a decade of research, this is the first book to provide a comprehensive and up-to-date account of the subject. Robust optimization is designed to meet some major challenges associated with uncertainty-affected optimization problems: to operate under lack of full information on the nature of uncertainty; to model the problem in a form that can be solved efficiently; and to provide guarantees about the performance of the solution. The book starts with a relatively simple treatment of uncertain linear programming, proceeding with a deep analysis of the interconnections between the construction of appropriate uncertainty sets and the classical chance constraints (probabilistic) approach. It then develops the robust optimization theory for uncertain conic quadratic and semidefinite optimization problems and dynamic (multistage) problems. The theory is supported by numerous examples and computational illustrations. An essential book for anyone working on optimization and decision making under uncertainty, Robust Optimization also makes an ideal graduate textbook on the subject.
Author: S. Bhatnagar
Publisher: Springer
ISBN: 1447142853
Category : Technology & Engineering
Languages : en
Pages : 310
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Book Description
Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from similarly diverse backgrounds: workers in relevant areas of computer science, control engineering, management science, applied mathematics, industrial engineering and operations research will find the content of value.
Author: Georg Ch. Pflug
Publisher: Springer
ISBN: 3319088432
Category : Business & Economics
Languages : en
Pages : 309
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Book Description
Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.
Author: George Yin
Publisher: Springer
ISBN: 3030254984
Category : Mathematics
Languages : en
Pages : 593
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Book Description
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Author: Mykel J. Kochenderfer
Publisher: MIT Press
ISBN: 0262039427
Category : Computers
Languages : en
Pages : 521
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Book Description
A comprehensive introduction to optimization with a focus on practical algorithms for the design of engineering systems. This book offers a comprehensive introduction to optimization with a focus on practical algorithms. The book approaches optimization from an engineering perspective, where the objective is to design a system that optimizes a set of metrics subject to constraints. Readers will learn about computational approaches for a range of challenges, including searching high-dimensional spaces, handling problems where there are multiple competing objectives, and accommodating uncertainty in the metrics. Figures, examples, and exercises convey the intuition behind the mathematical approaches. The text provides concrete implementations in the Julia programming language. Topics covered include derivatives and their generalization to multiple dimensions; local descent and first- and second-order methods that inform local descent; stochastic methods, which introduce randomness into the optimization process; linear constrained optimization, when both the objective function and the constraints are linear; surrogate models, probabilistic surrogate models, and using probabilistic surrogate models to guide optimization; optimization under uncertainty; uncertainty propagation; expression optimization; and multidisciplinary design optimization. Appendixes offer an introduction to the Julia language, test functions for evaluating algorithm performance, and mathematical concepts used in the derivation and analysis of the optimization methods discussed in the text. The book can be used by advanced undergraduates and graduate students in mathematics, statistics, computer science, any engineering field, (including electrical engineering and aerospace engineering), and operations research, and as a reference for professionals.
Author: Isil Dillig
Publisher: Springer
ISBN: 3030255409
Category : Computers
Languages : en
Pages : 680
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Book Description
This open access two-volume set LNCS 11561 and 11562 constitutes the refereed proceedings of the 31st International Conference on Computer Aided Verification, CAV 2019, held in New York City, USA, in July 2019. The 52 full papers presented together with 13 tool papers and 2 case studies, were carefully reviewed and selected from 258 submissions. The papers were organized in the following topical sections: Part I: automata and timed systems; security and hyperproperties; synthesis; model checking; cyber-physical systems and machine learning; probabilistic systems, runtime techniques; dynamical, hybrid, and reactive systems; Part II: logics, decision procedures; and solvers; numerical programs; verification; distributed systems and networks; verification and invariants; and concurrency.
