Böcker i Springer Series in Operations Research and Financial Engineering-serien

Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems.

This richly illustrated book introduces the subject of optimization to a broad audience with a balanced treatment of theory, models and algorithms. Through numerous examples from statistical learning, operations research, engineering, finance and economics, the text explains how to formulate and justify models while accounting for real-world considerations such as data uncertainty. It goes beyond the classical topics of linear, nonlinear and convex programming and deals with nonconvex and nonsmooth problems as well as games, generalized equations and stochastic optimization.The book teaches theoretical aspects in the context of concrete problems, which makes it an accessible onramp to variational analysis, integral functions and approximation theory. More than 100 exercises and 200 fully developed examples illustrate the application of the concepts. Readers should have some foundation in differential calculus and linear algebra. Exposure to real analysiswould be helpful but is not prerequisite.

This monograph presents a comprehensive treatment of the maximum-entropy sampling problem (MESP), which is a fascinating topic at the intersection of mathematical optimization and data science. The text situates MESP in information theory, as the algorithmic problem of calculating a sub-vector of pre-specificed size from a multivariate Gaussian random vector, so as to maximize Shannon's differential entropy. The text collects and expands on state-of-the-art algorithms for MESP, and addresses its application in the field of environmental monitoring. While MESP is a central optimization problem in the theory of statistical designs (particularly in the area of spatial monitoring), this book largely focuses on the unique challenges of its algorithmic side. From the perspective of mathematical-optimization methodology, MESP is rather unique (a 0/1 nonlinear program having a nonseparable objective function), and the algorithmic techniques employed are highly non-standard. In particular, successful techniques come from several disparate areas within the field of mathematical optimization; for example: convex optimization and duality, semidefinite programming, Lagrangian relaxation, dynamic programming, approximation algorithms, 0/1 optimization (e.g., branch-and-bound), extended formulation, and many aspects of matrix theory. The book is mainly aimed at graduate students and researchers in mathematical optimization and data analytics. 

This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws.

This richly illustrated book introduces the subject of optimization to a broad audience with a balanced treatment of theory, models and algorithms. Through numerous examples from statistical learning, operations research, engineering, finance and economics, the text explains how to formulate and justify models while accounting for real-world considerations such as data uncertainty. It goes beyond the classical topics of linear, nonlinear and convex programming and deals with nonconvex and nonsmooth problems as well as games, generalized equations and stochastic optimization.The book teaches theoretical aspects in the context of concrete problems, which makes it an accessible onramp to variational analysis, integral functions and approximation theory. More than 100 exercises and 200 fully developed examples illustrate the application of the concepts. Readers should have some foundation in differential calculus and linear algebra. Exposure to real analysiswould be helpful but is not prerequisite.

This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology.

There has been an increase in attention toward systems involving large numbers of small players, giving rise to the theory of mean field games, mean field type control and nonlinear Markov games.

This monograph compiles the contemporary knowledge about D-norms and provides an introductory tour through the essentials of multivariate extreme value theory.

This book is the first in-depth guide to applying the philosophy, theory, and methods of decision analysis to creating and executing winning legal strategies.

Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas.

This book presents state-of-the-art theoretical analysis of fundamental Newtonian and Newtonian-related approaches to solving optimization and variational problems, and offers a set of tools for the unified treatment of various algorithms.

This is part two of a two-volume work presenting a comprehensive treatment of the finite-dimensional variational inequality and complementarity problem. It details algorithms for solving finite dimensional variational inequalities and complementarity problems.

In an extensively updated new edition, this book teaches stochastic programming, with new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods and more.

This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. Part I lays the foundations of the theory of Markov chain on general states-space. Part II covers the basic theory of irreducible Markov chains on general states-space, relying heavily on regeneration techniques.

This book reviews basic terminology, concepts, taxonomy and tenets of inventory systems, then explores models: EOQ, lot-sizing, Newsvendor, continuous time and more. The authors discuss in detail different real situations in industry and theoretical models.

Implicit Functions and Solution Mappings

This work considers Kronecker-based models with finite as well as countably infinite state spaces for multidimensional Markovian systems by paying particular attention to those whose reachable state spaces are smaller than their product state spaces.

This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors.

Presents a treatment of extreme value theory that focuses on some beautiful theoretical results along with applications. This title concentrates on the probabilistic and statistical aspects of extreme values. It offers introduction to extreme value theory at the graduate level.

The new edition of this book presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It is enhanced by new chapters on nonlinear interior methods and derivative-free methods for optimization.

Encompassing all the major topics students will encounter in courses on the subject, the authors teach both the underlying mathematical foundations and how these ideas are implemented in practice.

George Dantzig is widely regarded as the founder of this subject with his invention of the simplex algorithm in the 1940's. In this second volume, the theory of the items discussed in the first volume is expanded to include such additional advanced topics as variants of the simplex method;