Modeling with Stochastic Programming

This is an updated version of what is still the only text to address basic questions about how to model uncertainty in mathematical programming, including how to reformulate a deterministic model so that it can be analyzed in a stochastic setting. This second edition has important extensions regarding how to represent random phenomena in the models (also called scenario generation) as well as a new chapter on multi-stage models.

This text would be suitable as a stand-alone or supplement for a second course in OR/MS or in optimization-oriented engineering disciplines where the instructor wants to explain where models come from and what the fundamental modeling issues are.

The book is easy-to-read, highly illustrated with lots of examples and discussions. It will be suitable for graduate students and researchers working in operations research, mathematics, engineering and related departments where there is interest in learning how to model uncertainty.

Alan King is a Research Staff Member at IBM's Thomas J. Watson Research Center in New York.

Stein W. Wallace is a Professor of Operational Research and head of Center for Shipping and Logistics at NHH Norwegian School of Economics, Bergen, Norway.

The first and only book discussing how to model stochastic programs Mostly non-technical and focuses on the concepts of modeling Written by two of the key international researchers

Autorentext

Alan King is a Research Staff Member at IBM's Thomas J. Watson Research Center in New York. Stein W. Wallace is a Professor of Operational Research and head of Center for Shipping and Logistics at NHH Norwegian School of Economics, Bergen, Norway.

Inhalt

Uncertainty in Optimization.- Information Structures and Feasibility.- Modeling the Objective Function.- Scenario Tree Generation, With Michal Kaut and Jamie Fairbrother.- High-Dimentional Dependent Randomness. With Zhaoxia Guo and Michal Kaut.- Service Network Design, With Arnt-Gunnar Lium and Teodor Gabriel Crainic.- A Multi-dimensional Newsboy Problem with Substitution, With Hajnalka Vaagen.- References.- Index.