Description : This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Description : This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems. Contents:Introduction and SummaryPapers in Finance:Longevity Risk Management for Individual Investors (Woo Chang Kim, John M Mulvey, Koray D Simsek and Min Jeong Kim)Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals (Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta)Intertemporal Surplus Management with Jump Risks (Mareen Benk)Jump-Diffusion Risk-Sensitive Benchmarked Asset Management (Mark Davis and Sébastien Lleo)Dynamic Portfolio Optimization under Regime-Based Firm Strength (Chanaka Edirisinghe and Xin Zhang)Options Portfolio Management as a Chance Constrained Problem (Dmitry Golembiovsky and Anatoliy Abramov)Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty (Larraitz Aranburu, Laureano F Escudero, M Araceli Garín and Gloria Pérez)Stochastic Programming and Optimization in Horserace Betting (William T Ziemba)Papers in Production Planning and Logistics:Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective (Lars Hellemo, Kjetil Midthun, Asgeir Tomasgard and Adrian Werner)A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon (Martin B Hæreid, Peter Schütz and Asgeir Tomasgard)Prioritizing Network Interdiction of Nuclear Smuggling (Dennis P Michalopoulos, David P Morton and J Wesley Barnes)Sawmill Production Planning under Uncertainty: Modelling and Solution Approaches (Masoumeh Kazemi Zanjani, Mustapha Nourelfath and Daoud Ait-Kadi)Papers on Energy:An Electricity Procurement Model with Energy and Peak Charges (Andy Philpott and Geoff Pritchard)A Stochastic Game Model Applied to the Nordic Electricity Market (Stein-Erik Fleten and Tek Tjing Lie)Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants (Andre L Diniz and Maria E P Maceira)Papers on Telecommunications:Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters (Francesca Maggioni, Marida Bertocchi, Elisabetta Allevi, Florian A Potra and Stein W Wallace)Stochastic Frequency Assignment Problem (Wadie Benajam, Alexei Gaivoronski and Abdel Lisser) Readership: Advanced undergraduate students, graduate students and researchers who are interested in the applications of stochastic programming. Keywords:Stochastic Programming;Optimization with Scenarios;Finance;Energy;Production and Logistics ApplicationsReviews: “The solution and the modeling of stochastic programming problems relies on a wide swath of disciplines ranging from Optimization, Variational and Functional Analysis, Probability and Statistics, Economics, Computer Sciences, not forgetting the use of truly creative heuristics. Not surprisingly, the development of the field often took a back seat to other more 'accessible' areas in mathematical programming. Eventually however, the realization that nearly all important decision problems involve some level of uncertainty about some of the parameters, couldn't really be ignored. These proceedings, by featuring a wide range of important applications, pay tribute to what in the final analysis, motivates the efforts of what by now has become a significant community.” Roger Wets Distinguished Research Professor University of California “Methodological advancements in stochastic programming, coupled with modern computational capabilities, now provide invaluable toolsets for addressing complex decision problems under uncertainty. This volume showcases state-of-the-art models and solution methods for a range of practical applications. It is a highly recommended and valuable reference for researchers and practitioners alike.” Hercules Vladimirou Professor of Management Science Chairman, Department of Public and Business Administration, University of Cyprus “Like its predecessor volumes, this conference proceedings is an up-to-date record of the current status of the maturing field of stochastic programming. Its advance is supported here by articles which report on practical applications in finance, production, logistics, energy and telecommunications. The result is a current and invaluable collection for both academics and practitioners which will stimulate further widening of this important field.” M A H Dempster Professor Emeritus, Center for Financial Research Department of Pure Mathematics and Statistics, University of Cambridge & Cambridge Systems Associates Limited, Cambridge UK
Description : Since the introduction of system signatures in Francisco Samaniego’s 1985 paper, the properties of this technical concept have been examined, tested and proven in a wide variety of systems applications. Based on the practical and research success in building reliability into systems with system signatures, this is the first book treatment of the approach. Its purpose is to provide guidance on how reliability problems might be structured, modeled and solved.
Description : The subject for this book is my life work on the enterprise modeling and integration by a stochastic/queuing form, and the book plan was conceived before my stay in the USA in 1996–97 as a visiting scholar. The rst title was “Stochastic Management and Design of Manufacturing Systems.” The rst version was attempted in 2001; however, this version was inappropriate and was not revised till now. It is 40 years since I attempted a stochastic approach to manufacturing and management due to the limitations of statistical approaches. The century in which industrial engineering and management rose to the forefront was one in which a static/statistical approach was applied to the development of classical models and general/average theory. This book presents a stochastic management approach to the manufacturing and service enterprise with risks by a game/strategic view, and is based on many papers in production/queueing studies that have appeared in famous journals. The book’s objective is to discuss and show the goals and constraints on manufacturing and service enterprises, and to provide a strategic/collaborative solution for management with risks in heterogeneity. This book mainly focuses on the three manufacturing classes: continuous, poi- wise, and exible stream types under risks. These manufacturing streams are rst studied using the respective stochastic processes, and are characterized and dev- oped as a queueing/strategic control problem of look-ahead/buffer, selection/swit- over, and arrangement/routings. Moreover, the behaviors of some design/control variables are shown and useful theories for design are established.
Description : Proportional Optimization and Fairness is a long-needed attempt to reconcile optimization with apportionment in just-in-time (JIT) sequences and find the common ground in solving problems ranging from sequencing mixed-model just-in-time assembly lines through just-in-time batch production, balancing workloads in event graphs to bandwidth allocation internet gateways and resource allocation in computer operating systems. The book argues that apportionment theory and optimization based on deviation functions provide natural benchmarks for a process, and then looks at the recent research and developments in the field. Individual chapters look at the theory of apportionment and just-in-time sequences; minimization of just-in-time sequence deviation; optimality of cyclic sequences and the oneness; bottleneck minimization; competition-free instances, Fraenkel’s Conjecture, and optimal admission sequences; response time variability; applications to the Liu-Layland Problem and pinwheel scheduling; temporal capacity constraints and supply chain balancing; fair queuing and stride scheduling; and smoothing and batching.
Description : This book integrates the key concepts of mathematical programming and constraint programming into a unified framework that allows them to be generalized and combined. It provides a powerful, high-level modeling solution for optimization problems.