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Book synopsis

This book investigates convex multistage stochastic programs whose objective and constraint functions exhibit a generalized nonconvex dependence on the random parameters. Although the classical Jensen and Edmundson-Madansky type bounds or their extensions are generally not available for such problems, tight bounds can systematically be constructed under mild regularity conditions. A distinct primal-dual symmetry property is revealed when the proposed bounding method is applied to linear stochastic programs. Exemplary applications are studied to assess the performance of the theoretical concepts in situations of practical relevance. It is shown how market power, lognormal stochastic processes,and risk-aversion can be properly handled in a stochastic programming framework. Numerical experiments show that the relative gap between the bounds can typically be reduced to a few percent at reasonable problem dimensions.

Book details

Book category Books in English Mathematics & science Mathematics Probability & statistics

• Full title: Generalized Bounds for Convex Multistage Stochastic Programs
• Author: D. Kuhn
• Language: English
• Binding: Paperback
• Number of pages: 190
• EAN: 9783540225409
• ISBN: 3540225404
• ID: 01559633
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 334 g
• Dimensions: 236 × 158 × 13 mm
• Date of publishing: 19. October 2004

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