Stochastic Optimization: Algorithms and Applications (Applied Optimization, Volume 54) (Applied Optimization (54))

Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. __Audience:__ Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering. Front Matter....Pages i-xii Output analysis for approximated stochastic programs....Pages 1-29 Combinatorial Randomized Rounding: Boosting Randomized Rounding with Combinatorial Arguments....Pages 31-53 Statutory Regulation of Casualty Insurance Companies: An Example from Norway with Stochastic Programming Analysis....Pages 55-85 Option pricing in a world with arbitrage....Pages 87-96 Monte Carlo Methods for Discrete Stochastic Optimization....Pages 97-119 Discrete Approximation in Quantile Problem of Portfolio Selection....Pages 121-135 Optimizing electricity distribution using two-stage integer recourse models....Pages 137-154 A Finite-Dimensional Approach to Infinite-Dimensional Constraints in Stochastic Programming Duality....Pages 155-167 Non-Linear Risk of Linear Instruments....Pages 169-182 Multialgorithms for Parallel Computing: A New Paradigm for Optimization....Pages 183-222 Convergence Rate of Incremental Subgradient Algorithms....Pages 223-264 Transient Stochastic Models for Search Patterns....Pages 265-277 Value-at-Risk Based Portfolio Optimization....Pages 279-302 Combinatorial Optimization, Cross-Entropy, Ants and Rare Events....Pages 303-363 Consistency of Statistical Estimators: the Epigraphical View....Pages 365-383 Hierarchical Sparsity in Multistage Stochastic Programs....Pages 385-410 Conditional Value-at-Risk: Optimization Approach....Pages 411-435