Probabilistic Constrained Optimization
Methodology and Applications
by S. P. Uri͡asʹev
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
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Subjects
Mathematics, Mathematical optimization, Operations research, Electronic data processing, Portfolio management, Probabilities, Calculus of Variations and Optimal Control; Optimization, Operation Research/Decision Theory, Finance/Investment/Banking, Mathematical Modeling and Industrial Mathematics, Numeric Computing| Edition | Availability |
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Probabilistic Constrained Optimization: Methodology and Applications
2000, Springer US
electronic resource :
in English
1441948406 9781441948403
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