Risk-Averse Optimization and Control : Theory and Methods - Andrzej Ruszczynski

Instant online reading.
Don't wait for delivery!

Risk-Averse Optimization and Control

Theory and Methods

By: Andrzej Ruszczynski, Darinka Dentcheva

Write A Review

Hardcover | 31 July 2024

At a Glance

Hardcover
468 Pages

Dimensions(cm)
23.5 x 15.5 x 2.54

Hardcover

RRP $229.00

$228.75

or 4 interest-free payments of $57.19 with

Ships in 5 to 7 business days

This book offers a comprehensive presentation of the theory and methods of risk-averse optimization and control. Problems of this type arise in finance, energy production and distribution, supply chain management, medicine, and many other areas, where not only the average performance of a stochastic system is essential, but also high-impact and low-probability events must be taken into account. The book is a self-contained presentation of the utility theory, the theory of measures of risk, including systemic and dynamic measures of risk, and their use in optimization and control models. It also covers stochastic dominance relations and their application as constraints in optimization models. Optimality conditions for problems with nondifferentiable and nonconvex functions and operators involving risk measures and stochastic dominance relations are discussed. Much attention is paid to multi-stage risk-averse optimization problems and to risk-averse Markov decision problems.

Specialized algorithms for solving risk-averse optimization and control problems are presented and analyzed: stochastic subgradient methods for risk optimization, decomposition methods for dynamic problems, event cut and dual methods for stochastic dominance constraints, and policy iteration methods for control problems.

The target audience is researchers and graduate students in the areas of mathematics, business analytics, insurance and finance, engineering, and computer science. The theoretical considerations are illustrated with examples, which make the book useful material for advanced courses in the area.

Shipping

	Standard Shipping	Express Shipping
Metro postcodes:	$9.99	$14.95
Regional postcodes:	$9.99	$14.95
Rural postcodes:	$9.99	$14.95

Orders over $79.00 qualify for free shipping.

How to return your order

At Booktopia, we offer hassle-free returns in accordance with our returns policy. If you wish to return an item, please get in touch with Booktopia Customer Care.

Additional postage charges may be applicable.