Stochastic Programming: Applications In Finance, Energy, Planning And Logistics

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems. Contents: Introduction and Summary Papers in Finance: Longevity Risk Management for Individual Investors (Woo Chang Kim, John M Mulvey, Koray D Simsek and Min Jeong Kim) Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals (Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta) Intertemporal Surplus Management with Jump Risks (Mareen Benk) Jump-Diffusion Risk-Sensitive Benchmarked Asset Management (Mark Davis and Sébastien Lleo) Dynamic Portfolio Optimization under Regime-Based Firm Strength (Chanaka Edirisinghe and Xin Zhang) Options Portfolio Management as a Chance Constrained Problem (Dmitry Golembiovsky and Anatoliy Abramov) Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty (Larraitz Aranburu, Laureano F Escudero, M Araceli Garín and Gloria Pérez) Stochastic Programming and Optimization in Horserace Betting (William T Ziemba) Papers in Production Planning and Logistics: Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective (Lars Hellemo, Kjetil Midthun, Asgeir Tomasgard and Adrian Werner) A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon (Martin B Hæreid, Peter Schütz and Asgeir Tomasgard) Prioritizing Network Interdiction of Nuclear Smuggling (Dennis P Michalopoulos, David P Morton and J Wesley Barnes) Sawmill Production Planning under Uncertainty: Modelling and Solution Approaches (Masoumeh Kazemi Zanjani, Mustapha Nourelfath and Daoud Ait-Kadi) Papers on Energy: An Electricity Procurement Model with Energy and Peak Charges (Andy Philpott and Geoff Pritchard) A Stochastic Game Model Applied to the Nordic Electricity Market (Stein-Erik Fleten and Tek Tjing Lie) Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants (Andre L Diniz and Maria E P Maceira) Papers on Telecommunications: Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters (Francesca Maggioni, Marida Bertocchi, Elisabetta Allevi, Florian A Potra and Stein W Wallace) Stochastic Frequency Assignment Problem (Wadie Benajam, Alexei Gaivoronski and Abdel Lisser) Readership: Advanced undergraduate students, graduate students and researchers who are interested in the applications of stochastic programming.