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Applications of Stochastic Programming

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Saturday, September 10, 2005
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Stein W. Wallace and William T. Ziemba, editors
MPA-SIAM Series on Optmization
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 Preface: Part I: Stochastic Programming Codes; Chapter 1: Stochastic Programming Computer Implementations, Horand I. Gassmann, SteinW.Wallace, and William T. Ziemba; Chapter 2: The SMPS Format for Stochastic Linear Programs, Horand I. Gassmann; Chapter 3: The IBM Stochastic Programming System, Alan J. King, Stephen E.Wright, Gyana R. Parija, and Robert Entriken; Chapter 4: SQG: Software for Solving Stochastic Programming Problems with Stochastic Quasi-Gradient Methods, Alexei A. Gaivoronski; Chapter 5: Computational Grids for Stochastic Programming, Jeff Linderoth and Stephen J.Wright; Chapter 6: Building and Solving Stochastic Linear Programming Models with SLP-IOR, Peter Kall and János Mayer; Chapter 7: Stochastic Programming from Modeling Languages, Emmanuel Fragnière and Jacek Gondzio; Chapter 8: A Stochastic Programming Integrated Environment (SPInE), P. Valente, G. Mitra, and C. A. Poojari; Chapter 9: Stochastic Modelling and Optimization Using Stochastics™ , M. A. H. Dempster, J. E. Scott, and G.W. P. Thompson; Chapter 10: An Integrated Modelling Environment for Stochastic Programming, Horand I. Gassmann and David M. Gay; Part II: Stochastic Programming Applications; Chapter 11: Introduction to Stochastic Programming Applications Horand I. Gassmann, Sandra L. Schwartz, SteinW.Wallace, and William T. Ziemba Chapter 12: Fleet Management, Warren B. Powell and Huseyin Topaloglu; Chapter 13: Modeling Production Planning and Scheduling under Uncertainty, A. Alonso-Ayuso, L. F. Escudero, and M. T. Ortuño; Chapter 14: A Supply Chain Optimization Model for the Norwegian Meat Cooperative, A. Tomasgard and E. Høeg; Chapter 15: Melt Control: Charge Optimization via Stochastic Programming, Jitka Dupaˇcová and Pavel Popela; Chapter 16: A Stochastic Programming Model for Network Resource Utilization in the Presence of Multiclass Demand Uncertainty, Julia L. Higle and Suvrajeet Sen; Chapter 17: Stochastic Optimization and Yacht Racing, A. B. Philpott; Chapter 18: Stochastic Approximation, Momentum, and Nash Play, H. Berglann and S. D. Flåm; Chapter 19: Stochastic Optimization for Lake Eutrophication Management, Alan J. King, László Somlyódy, and Roger J.-B.Wets; Chapter 20: Mitigating Anthropogenic Climate Change, GaryW. Yohe; Chapter 21: Groundwater Pollution Control, David W.Watkins, Jr., Daene C. McKinney, and David P. Morton; Chapter 22: Catastrophic Risk Management: Flood and Seismic Risks Case Studies, Tatiana Ermolieva and Yuri Ermoliev; Chapter 23: Refinancing Mortgages in Switzerland, Karl Frauendorfer and Michael Schürle; Chapter 24. Optimization Models for Structuring Index Funds, Stavros A. Zenios; Chapter 25: Decentralized Risk Management for Global P/C Insurance Companies, John M. Mulvey and Hafize Gaye Erkan; Chapter 26: Wealth Goals Investing, Leonard C. MacLean, Yonggan Zhao, and William T. Ziemba; Chapter 27: Scenario-Based Risk Management Tools, Helmut Mausser and Dan Rosen; Chapter 28: Price Protection Strategies for an Oil Company, E. A. Medova and A. Sembos; Chapter 29: Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds, P. Krokhma, S. Uryasev, and G. Zrazhevsky; Chapter 30: Stochastic Unit Commitment in Hydro-Thermal Power Production Planning, Nicole Gröwe-Kuska and Werner Römisch; Chapter 31: Valuation of Electricity Generation Capacity, Shi-Jie Deng and Shmuel S. Oren; Chapter 32: Stochastic Optimization Problems in Telecommunications, Alexei A. Gaivoronski; Index

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Saturday, September 10, 2005