Probabilistic Constrained Optimization Methodology and Applications
- List Price: $209.00
- Binding: Hardcover
- Publisher: Kluwer Academic Pub
- Publish date: 11/01/2000
Description:
to the Theory of Probabilistic Functions and Percentiles.- Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights.- On Optimization of Unreliable Material Flow Systems.- Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts.- Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis.- Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems.- On Maximum Reliability Problem in Parallel-Series Systems with Two Failure Modes.- Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses.- Structure of Optimal Stopping Strategies for American Type Options.- Approximation of Value-at-Risk Problems with Decision Rules.- Managing Risk with Expected Shortfall.- On the Numerical Solution of Jointly Chance Constrained Problems.- Management of Quality of Service through Chance-constraints in Multimedia Networks.- Solution of a Product Substitution Problem Using Stochastic Programming.- Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk.- Statistical Inference of Stochastic Optimization Problems.
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