Georg Ch. Pflug's Books

Optimization of Stochastic Models

The Interface Between Simulation and Optimization

By: Georg Ch. Pflug

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Optimization of Stochastic Models

The Interface Between Simulation and Optimization

By: Georg Ch. Pflug

Stochastic models are everywhere. In manufacturing, queuing models are used for modeling production processes, realistic inventory models are stochastic in nature. Stochastic models are considered in transportation and communication. Marketing models use stochastic descriptions of the demands and buyer's behaviors. In finance, market prices and exchange rates are assumed to be certain stochastic processes, and insurance claims appear at random times with random amounts. To each decision problem, a cost function is associated. Costs may be direct or indirect, like loss of time, quality deterioration, loss in production or dissatisfaction of customers. In decision making under uncertainty, the goal is to minimize the expected costs. However, in practically all realistic models, the calculation of the expected costs is impossible due to the model complexity. Simulation is the only practicable way of getting insight into such models. Thus, the problem of optimal decisions can be seen as getting simulation and optimization effectively combined. The field is quite new and yet the number of publications is enormous. This book does not even try to touch all work done in this area. Instead, many concepts are presented and treated with mathematical rigor and necessary conditions for the correctness of various approaches are stated. Optimization of Stochastic Models: The Interface Between Simulation and Optimization is suitable as a text for a graduate level course on Stochastic Models or as a secondary text for a graduate level course in Operations Research.

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Page Count

384

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461314496

ISBN 13

9781461314493

Multistage Stochastic Optimization

By: Georg Ch. Pflug,Alois Pichler

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Multistage Stochastic Optimization

By: Georg Ch. Pflug,Alois Pichler

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.

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Page Count

309

Publisher

Springer

Published Date

ISBN 10

3319088432

ISBN 13

9783319088433

Modeling, Measuring and Managing Risk

By: Georg Ch Pflug,Werner Romisch

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Modeling, Measuring and Managing Risk

By: Georg Ch Pflug,Werner Romisch

This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.

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Page Count

303

Publisher

World Scientific

Published Date

ISBN 10

9812708723

ISBN 13

9789812708724

Book's by Georg Ch. Pflug

Optimization of Stochastic Models

Optimization of Stochastic Models

Multistage Stochastic Optimization

Multistage Stochastic Optimization

Modeling, Measuring and Managing Risk

Modeling, Measuring and Managing Risk

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