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Applications of Stochastic ProgrammingApplications of Stochastic Programming

Stein W. Wallace and William T. Ziemba, Editors

MOS-SIAM Series on Optimization 5

Research on algorithms and applications of stochastic programming, the study of procedures for decision making under uncertainty over time, has been very active in recent years and deserves to be more widely known. This is the first book devoted to the full scale of applications of stochastic programming and also the first to provide access to publicly available algorithmic systems. The 32 contributed papers in this volume are written by leading stochastic programming specialists and reflect the high level of activity in recent years in research on algorithms and applications. The book introduces the power of stochastic programming to a wider audience and demonstrates the application areas where this approach is superior to other modeling approaches.

Applications of Stochastic Programming consists of two parts. The first part presents papers describing publicly available stochastic programming systems that are currently operational. All the codes have been extensively tested and developed and will appeal to researchers and developers who want to make models without extensive programming and other implementation costs. The codes are a synopsis of the best systems available, with the requirement that they be user-friendly, ready to go, and publicly available.

The second part of the book is a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity. It contains the most complete collection of real applications using stochastic programming available in the literature. The papers show how leading researchers choose to treat randomness when making planning models, with an emphasis on modeling, data, and solution approaches.


Researchers in stochastic programming will find this book an excellent source of publicly available codes. Those interested in creating their own applications, and those looking for real applications to introduce stochastic programming in the classroom, will find the book a valuable resource.


Preface: Part I: Stochastic Programming Codes; Chapter 1: Stochastic Programming Computer Implementations, Horand I. Gassmann, SteinW.Wallace, and William T. Ziemba; Chapter 2: The SMPS Format for Stochastic Linear Programs, Horand I. Gassmann; Chapter 3: The IBM Stochastic Programming System, Alan J. King, Stephen E.Wright, Gyana R. Parija, and Robert Entriken; Chapter 4: SQG: Software for Solving Stochastic Programming Problems with Stochastic Quasi-Gradient Methods, Alexei A. Gaivoronski; Chapter 5: Computational Grids for Stochastic Programming, Jeff Linderoth and Stephen J.Wright; Chapter 6: Building and Solving Stochastic Linear Programming Models with SLP-IOR, Peter Kall and János Mayer; Chapter 7: Stochastic Programming from Modeling Languages, Emmanuel Fragnière and Jacek Gondzio; Chapter 8: A Stochastic Programming Integrated Environment (SPInE), P. Valente, G. Mitra, and C. A. Poojari; Chapter 9: Stochastic Modelling and Optimization Using Stochastics™ , M. A. H. Dempster, J. E. Scott, and G.W. P. Thompson; Chapter 10: An Integrated Modelling Environment for Stochastic Programming, Horand I. Gassmann and David M. Gay; Part II: Stochastic Programming Applications; Chapter 11: Introduction to Stochastic Programming Applications Horand I. Gassmann, Sandra L. Schwartz, SteinW.Wallace, and William T. Ziemba Chapter 12: Fleet Management, Warren B. Powell and Huseyin Topaloglu; Chapter 13: Modeling Production Planning and Scheduling under Uncertainty, A. Alonso-Ayuso, L. F. Escudero, and M. T. Ortuño; Chapter 14: A Supply Chain Optimization Model for the Norwegian Meat Cooperative, A. Tomasgard and E. Hĝeg; Chapter 15: Melt Control: Charge Optimization via Stochastic Programming, Jitka Dupaˇcová and Pavel Popela; Chapter 16: A Stochastic Programming Model for Network Resource Utilization in the Presence of Multiclass Demand Uncertainty, Julia L. Higle and Suvrajeet Sen; Chapter 17: Stochastic Optimization and Yacht Racing, A. B. Philpott; Chapter 18: Stochastic Approximation, Momentum, and Nash Play, H. Berglann and S. D. Flċm; Chapter 19: Stochastic Optimization for Lake Eutrophication Management, Alan J. King, László Somlyódy, and Roger J.-B.Wets; Chapter 20: Mitigating Anthropogenic Climate Change, GaryW. Yohe; Chapter 21: Groundwater Pollution Control, David W.Watkins, Jr., Daene C. McKinney, and David P. Morton; Chapter 22: Catastrophic Risk Management: Flood and Seismic Risks Case Studies, Tatiana Ermolieva and Yuri Ermoliev; Chapter 23: Refinancing Mortgages in Switzerland, Karl Frauendorfer and Michael Schürle; Chapter 24. Optimization Models for Structuring Index Funds, Stavros A. Zenios; Chapter 25: Decentralized Risk Management for Global P/C Insurance Companies, John M. Mulvey and Hafize Gaye Erkan; Chapter 26: Wealth Goals Investing, Leonard C. MacLean, Yonggan Zhao, and William T. Ziemba; Chapter 27: Scenario-Based Risk Management Tools, Helmut Mausser and Dan Rosen; Chapter 28: Price Protection Strategies for an Oil Company, E. A. Medova and A. Sembos; Chapter 29: Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds, P. Krokhma, S. Uryasev, and G. Zrazhevsky; Chapter 30: Stochastic Unit Commitment in Hydro-Thermal Power Production Planning, Nicole Gröwe-Kuska and Werner Römisch; Chapter 31: Valuation of Electricity Generation Capacity, Shi-Jie Deng and Shmuel S. Oren; Chapter 32: Stochastic Optimization Problems in Telecommunications, Alexei A. Gaivoronski; Index

2005 / xvi + 704 pages / Softcover / ISBN-13: 978-0-898715-55-2 / ISBN-10: 0-89871-555-5 /
List Price $153.50 / MOS/SIAM Member Price $107.45 / Order Code MP05
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Banner art adapted from a figure by Hinke M. Osinga and Bernd Krauskopf (University of Auckland, NZ.)