Probabilistic constrained optimization : methodology and applications

Abstract

Preface. Introduction to the Theory of Probabilistic Functions and Percentiles S. Uryasev. Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights M. Broadie, et al. On Optimization of Unreliable Material Flow Systems Y. Ermoliev, et al. Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts K. Frauendorfer, M. Schurle. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis A.N. Golodnikov, et al. Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems Y.S. Kan, A.I. Kibzun. On Maximum Realiability Problem in Parallel-Series Systems with Two Failure Modes V. Kirilyuk. Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses A. Kreinin, A. Levin. Structure of Optimal Stopping Strategies for American Type Options A.G. Kukush, D.S. Silvestrov. Approximation of Value-at-Risk Problems with Decision Rules R. Lepp. Managing Risk with Expected Shortfall H. Mausser, D. Rosen. On the Numerical Solution of Jointly Chance Constrained Problems J. Mayer. Management of Quality of Service through Chance-constraints in Multimedia Networks E.A. Medova, J.E. Scott. Solution of a Product Substitution Problem Using Stochastic Programming M.R. Murr, A. Prekopa. Some Remarks on the Value-at-Risk and the Conditional Value-at-risk G.Ch. Pflug. Statistical Inference of Stochastic Optimization Problems A. Shapiro.

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