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Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems.
The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area.
Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems.
The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area.
Elements of the Utility Theory.- Measures of Risk.- Optimization of Measures of Risk.- Dynamic Risk Optimization.- Optimization with Stochastic Dominance Constraints.- Multivariate and Sequential Stochastic Orders.- Numerical Methods for Problems with Stochastic Dominance Constraints.- Risk-Averse Control of Markov Systems.
Erscheinungsjahr: | 2024 |
---|---|
Fachbereich: | Allgemeines |
Genre: | Mathematik |
Rubrik: | Naturwissenschaften & Technik |
Medium: | Buch |
Reihe: | Springer Series in Operations Research and Financial Engineering |
Inhalt: |
xv
451 S. |
ISBN-13: | 9783031579875 |
ISBN-10: | 3031579879 |
Sprache: | Englisch |
Ausstattung / Beilage: | HC runder Rücken kaschiert |
Einband: | Gebunden |
Autor: |
Ruszczy¿ski, Andrzej
Dentcheva, Darinka |
Hersteller: |
Springer Nature Switzerland
Springer International Publishing AG Springer Series in Operations Research and Financial Engineering |
Maße: | 241 x 160 x 31 mm |
Von/Mit: | Andrzej Ruszczy¿ski (u. a.) |
Erscheinungsdatum: | 30.06.2024 |
Gewicht: | 0,863 kg |
Elements of the Utility Theory.- Measures of Risk.- Optimization of Measures of Risk.- Dynamic Risk Optimization.- Optimization with Stochastic Dominance Constraints.- Multivariate and Sequential Stochastic Orders.- Numerical Methods for Problems with Stochastic Dominance Constraints.- Risk-Averse Control of Markov Systems.
Erscheinungsjahr: | 2024 |
---|---|
Fachbereich: | Allgemeines |
Genre: | Mathematik |
Rubrik: | Naturwissenschaften & Technik |
Medium: | Buch |
Reihe: | Springer Series in Operations Research and Financial Engineering |
Inhalt: |
xv
451 S. |
ISBN-13: | 9783031579875 |
ISBN-10: | 3031579879 |
Sprache: | Englisch |
Ausstattung / Beilage: | HC runder Rücken kaschiert |
Einband: | Gebunden |
Autor: |
Ruszczy¿ski, Andrzej
Dentcheva, Darinka |
Hersteller: |
Springer Nature Switzerland
Springer International Publishing AG Springer Series in Operations Research and Financial Engineering |
Maße: | 241 x 160 x 31 mm |
Von/Mit: | Andrzej Ruszczy¿ski (u. a.) |
Erscheinungsdatum: | 30.06.2024 |
Gewicht: | 0,863 kg |