E-Books →Risk-Averse Optimization and Control Theory and Methods

Free Download Risk-Averse Optimization and Control: Theory and Methods (Springer Series in Operations Research and Financial Engineering) by Darinka Dentcheva, Andrzej Ruszczyński
English | June 30, 2024 | ISBN: 3031579879 | 466 pages | MOBI | 69 Mb
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.