Introduction to Stochastic Programming (original) (raw)
Overview
Authors:
- John R. Birge
- , Booth School of Business, University of Chicago, Chicago, USA
- François Louveaux
- , Department of Business Administration, University of Namur, Namur, Belgium
Well-paced and wide-ranging introduction to this subject
Prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems
Provides a first course in stochastic programming suitable for students
Includes supplementary material: sn.pub/extras
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About this book
The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems.
In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods.
The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest.
Review of First Edition:
"The discussion on modeling issues, the large number of examples used to illustrate the material, and the breadth of the coverage make 'Introduction to Stochastic Programming' an ideal textbook for the area." (Interfaces, 1998)
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Table of contents (10 chapters)
Models
Basic Properties
Solution Methods
Approximation and Sampling Methods
Reviews
From the reviews of the second edition:
“Help the students to understand how to model uncertainty into mathematical optimization problems, what uncertainty brings to the decision process and which techniques help to manage uncertainty in solving the problems. … certainly attract also the wide spectrum of readers whose main interest lies in possible exploitation of stochastic programming methodology and will help them to find their own way to treat actual problems using stochastic programming methods. As a whole, the three main building blocks of stochastic programming … are well represented and balanced.” (Jitka Dupačová, Zentralblatt MATH, Vol. 1223, 2011)
Authors and Affiliations
, Booth School of Business, University of Chicago, Chicago, USA
John R. Birge
, Department of Business Administration, University of Namur, Namur, Belgium
François Louveaux
About the authors
John R. Birge, is a Jerry W. and Carol Lee Levin Professor of Operations Management at the University of Chicago Booth School of Business. François Louveaux is a Professor at the University of Namur(FUNDP) in the Department of Business Administration
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Bibliographic Information
- Book Title: Introduction to Stochastic Programming
- Authors: John R. Birge, François Louveaux
- Series Title: Springer Series in Operations Research and Financial Engineering
- DOI: https://doi.org/10.1007/978-1-4614-0237-4
- Publisher: Springer New York, NY
- eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
- Copyright Information: Springer Science+Business Media, LLC 2011
- Hardcover ISBN: 978-1-4614-0236-7Published: 27 June 2011
- Softcover ISBN: 978-1-4939-3703-5Published: 27 June 2011
- eBook ISBN: 978-1-4614-0237-4Published: 15 June 2011
- Series ISSN: 1431-8598
- Series E-ISSN: 2197-1773
- Edition Number: 2
- Number of Pages: XXV, 485
- Topics: Operations Research, Management Science, Statistics and Computing/Statistics Programs, Optimization