Stochastic Programming: Modeling Decision Problems Under Uncertainty

by Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders

Overview

This book provides an essential introduction to Shastic Programming, especially intended for graduate students. The book begins by exploring a linear programming problem with random parameters, representing a decision problem under uncertainty. Several models for this problem are presented, including the main ones used in Shastic Programming: recourse models and chance constraint models. The book not only discusses the theoretical properties of these models and algorithms for solving them, but also explains the intrinsic differences between the models. In the book’s closing section, several case studies are presented, helping students apply the theory covered to practical problems.

The book is based on lecture notes developed for an Econometrics and Operations Research course for master students at the University of Groningen, the Netherlands - the longest-standing Shastic Programming course worldwide.

Product Details

ISBN-13:	9783030292188
Publisher:	Springer International Publishing
Publication date:	10/25/2019
Series:	Graduate Texts in Operations Research
Edition description:	1st ed. 2020
Pages:	249
Product dimensions:	6.10(w) x 9.25(h) x (d)

About the Author

Wim Klein Haneveld is Emeritus Professor in the Department of Operations at the University of Groningen. He is one of the pioneers of Shastic Programming. He developed the Shastic Programming course for graduate students at the University of Groningen and has taught this course for many years.

Maarten van der Vlerk was Professor in the Department of Operations at the University of Groningen. He was an expert in Shastic Integer Programming. For many years he was lecturer of the Shastic Programming course in Groningen and a PhD course on Shastic Programming at the LNMB (the Dutch Network on the Mathematics of Operations Research).

Ward Romeijnders is Assistant Professor in the Department of Operations at the University of Groningen. He is an expert in Shastic Integer Programming. He is the current lecturer of the Shastic Programming courses in Groningen and at the LNMB.

Table of Contents

Introduction.- Random Objective Functions.- Recourse Models.- Shastic Mixed-integer Programming.- Chance Constraints.- Integrated Chance Constraints.- Assignments.- Case Studies.

Editorial Reviews

The book is well written. The book will be of interest to mathematicians, engineers, economics and especially graduate students.” (I. M. Stancu-Minasian, zbMATH 1446.90118, 2020)

From the Publisher