Risk Management in Stochastic Integer Programming: With Application to Dispersed Power Generation - Tapa blanda

Neise, Frederike

 
9783834805478: Risk Management in Stochastic Integer Programming: With Application to Dispersed Power Generation
Tapa blanda
ISBN 10: 3834805475 ISBN 13: 9783834805478
Editorial: Vieweg+Teubner Verlag, 2008

Sinopsis

1 The two-stage stochastic optimization problem . 2 Quantile-based risk measures . 1 Introduction to Stochastic Dominance . 1 Stochastic orders for the preference of higher outcomes . 2 Stochastic orders for the preference of smaller outcomes . 2 Stochastic Dominance Constraints . 2 Results concerning structure and stability .

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Dr. Frederike Neise gained a PhD in Mathematics from the University of Duisburg-Essen studying two-stage stochastic programming and its application to the optimal management of dispersed generation systems. She currently works as a gas market analyst with E.ON Ruhrgas AG.

De la contraportada

Two-stage stochastic optimization is a useful tool for making optimal decisions under uncertainty. Frederike Neise describes two concepts to handle the classic linear mixed-integer two-stage stochastic optimization problem: The well-known mean-risk modeling, which aims at finding a best solution in terms of expected costs and risk measures, and stochastic programming with first order dominance constraints that heads towards a decision dominating a given cost benchmark and optimizing an additional objective. For this new class of stochastic optimization problems results on structure and stability are proven. Moreover, the author develops equivalent deterministic formulations of the problem, which are efficiently solved by the presented dual decomposition method based on Lagrangian relaxation and branch-and-bound techniques. Finally, both approaches mean-risk optimization and dominance constrained programming are applied to find an optimal operation schedule for a dispersed generation system, a problem from energy industry that is substantially influenced by uncertainty.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Vieweg+Teubner Verlag
Año de publicación
2008
Idioma
Inglés
ISBN 10 
3834805475
ISBN 13 
9783834805478
Encuadernación
Tapa blanda
Número de páginas
116
Contacto del fabricante
Springer-Verlag GmbH
customerservice@springernature.com

Tiergartenstraße 17
Heidelberg
Baden-Württemberg
69121
Alemania