Numerical Techniques for Stochastic Optimization -

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Sommaire:
I: Models, Motivation and Methods.- 1. Stochastic Programming, an Introduction.- II: Numerical Procedures.- 2. Approximations in Stochastic Programming.- 3. Large Scale Linear Programming Techniques.- 4. Nonlinear Programming Techniques Applied to Stochastic Programs with Recourse.- 5. Numerical Solution of Probabilistic Constrained Programming Problems.- 6. Stochastic Quasigradient Methods.- 7. Multidimensional Integration and Stochastic Programming.- 8. Stochastic Integer Programming.- III: Implementation.- 9. A Proposed Standard Input Format for Computer Codes which Solve Stochastic Programs with Recourse.- 10. A Computer Code for Solution of Probabilistic constrained Stochastic Programming Problems.- 11. Conditional Probability and Conditional Expectation of a Random Vector.- 12. An L-shaped Method Computer Code for Multistage Stochastic Linear Programs.- 13. The Relationship Between the L-shaped Method and Dual Basis Factorization for Stochastic Linear Programming.- 14. Design and Implementation of a Stochastic Programming Optimizer with Recourse and Tenders.- 15. Finite Generation Method.- 16. Implementation of Stochastic Quasigradient Methods.- 17. Stepsize Rules, Stopping Times and their Implementation in Stochastic Quasigradient Algorithms.- 18. Adaptive Stochastic Quasigradient Methods.- 19. A Note about Projections in the Implementation of Stochastic Quasigradient Methods.- 20. Decent Stochastic Quasigradient Methods.- 21. Stochastic Integer Programming by Dynamic Programming.- IV: Applications and Test Problems.- 22. Facility Location Problem.- 23. Lake Entrophication Management: The Lake Balaton Project.- 24. Optimal Investments for Electricity Generation: A Stochastic Model and a Test-Problem.- 25. Some Applications of Stochastic Optimization Methods to the Electric Power System.- 26. Power Generation Planning with Uncertain Demand.- 27. Exhaustible Resource Models with Uncertain Returns from Exploration Investment.- 28. A Two-Stage Stochastic Facility-Location Problem with Time-Dependent Supply.- 29. Some Test Problems for Stochastic Nonlinear Multistage Programs.- 30. Stochastic Programming Problems: Examples from the Literature.