ISBN: 3540405062
TITLE: Dynamic Stochastic Optimization
AUTHOR: Marti et al.
TOC:

Part I. Dynamic Decision Problems under Uncertainty: Modeling Aspects
Reflections on Output Analysis for Multistage Stochastic Linear Programs
Jitka Dupacov 3
Modeling Support for Multistage Recourse Problems
Peter Kali, Jnos Mayer 21
Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains
Karel Slak, Milan Sitar 43
Approximation and Optimization for Stochastic Networks
Julien Granger, Ananth Krishnamurthy, Stephen M. Robinson 67
Part II. Dynamic Stochastic Optimization in Finance
Optimal Stopping Problem and Investment Models
Vadim I. Arkin, Alexander D. Slastnikov 83
Estimating LIBOR/Swaps Spot-Volatilities: the EpiVolatility Model
Stephen W. Bianchi, Roger J.B. Wets, Liming Yang 99
Structured Products for Pension Funds
Michael A.H. Dempster, Matteo Germano, Elena A. Medova, Michael Villaverde 115
Part III. Optimal Control Under Stochastic Uncertainty
Real-time Robust Optimal Trajectory Planning of Industrial Robots
Andreas Aurnhammer, Kurt Marti 133
Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC) for Robots
Kurt Marti 155
Part IV. Tools for Dynamic Stochastic Optimization
Solving Stochastic Programming Problems by Successive Regression Approximations - Numerical Results
Istvn Dek 209
Stochastic Optimization of Risk Functions via Parametric Smoothing
Yuri Ermoliev, Vladimir Norkin 225
Optimization under Uncertainty using Momentum
Sjur Didrik Flm 249
Perturbation Analysis of Chance-constrained Programs under Variation of all Constraint Data
Ren Henrion 257
The Value of Perfect Information as a Risk Measure
Georg Ch. Pflug 275
New Bounds and Approximations for the Probability Distribution of the Length of the Critical Path
Andrs Prkopa, Jianmin Long, Tams Szntai 293
Simplification of Recourse Models by Modification of Recourse Data
Maarten H. van der Vlerk 321
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