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Lectures on Stochastic Programming: Modeling and TheoryLectures on Stochastic Programming: Modeling and Theory

Alexander Shapiro, Darinka Dentcheva, and Andrzej Ruszczyński

MOS-SIAM Series on Optimization 9

Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available.

Readers will find coverage of
• the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle;
• the book also includes the theory of two-stage and multistage stochastic programming problems;
• the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality;
• statistical inference; and
• risk-averse approaches to stochastic programming.

SIREV Book Review

This book is intended for researchers working on theory and applications of optimization. It also is suitable as a text for advanced graduate courses in optimization.

About the Authors
Alexander Shapiro is a Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology. He has published more than 100 articles in peer-reviewed journals and is the coauthor of several books.

Darinka Dentcheva is a Professor of Mathematics at Stevens Institute of Technology. She works in the areas of decisions under uncertainty, convex analysis, and stability of optimization problems.

Andrzej Ruszczyński is a Professor in the Department of Operations Research at Rutgers University. His research is devoted to the theory and methods of optimization under uncertainty and risk.

mathematical programming, stochastic optimization, convex analysis, risk analysis, modeling uncertainty

2009 / xvi + 436 pages / Softcover
ISBN: 978-0898716-87-0 
List Price $123.00 / MOS/SIAM Member Price $86.10 / Order Code MP09
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