Stochastic programming : applications in finance, energy, planning and logistics

This book shows the breath 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, 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, theory papers discuss mobile network design and assignment problems.

Woo Chang Kim and John M. Mulvey and Koray D. Simsek and Min Jeong KimVittorio Moriggia and Giorgio Consigli and Gaetano IaquintaMareen BenkMark Davis and Sébastien LleoChanaka Edirisinghe and Xin ZhangDmitry Golembiovsky and Anatoliy AbramovLarraitz Aranburu and Laureano F. Escudero and M. Araceli Garín and Gloria PérezWilliam T. ZiembaLars Hellemo and Kjetil Midthun and Asgeir Tomasgard and Adrian WernerMartin B. Hæreid and Peter Schütz and Asgeir TomasgardDennis P. Michalopoulos and David P. Morton and J. Wesley BarnesMasoumeh Kazemi Zanjani and Mustapha Nourelfath and Daoud Ait-KadiAndy Philpott and Geoff PritchardStein-Erik Fleten and Tek Tjing LieAndre L. Diniz and Maria E. P. MaceiraFrancesca Maggioni and Marida Bertocchi and Elisabetta Allevi and Florian A. Potra and Stein W. WallaceWadie Benajam and Alexei Gaivoronski and Abdel Lisser

Acknowledgements	p. v
List of Contributors	p. vii
Preface	p. xi
Books and Collections of Papers on Stochastic Programming	p. xvii
1 Introduction and Summary	p. 1
Part I Papers in Finance	p. 7
2 Longevity Risk Management for Individual Investors	p. 9
3 Optimal Stochastic Programming-Based Personal Financial Planning with Intermediate and Long-Term Goals	p. 43
4 Intertemporal Surplus Management with Jump Risks	p. 69
5 Jump-Diffusion Risk-Sensitive Benchmarked Asset Management	p. 97
6 Dynamic Portfolio Optimization under Regime-Based Firm Strength	p. 129
7 Options Portfolio Management as a Chance Constrained Problem	p. 155
8 Stochastic Models for Optimizing Immunization Strategies in Fixed-Income Security Portfolios under Some Sources of Uncertainty	p. 173
9 Stochastic Programming and Optimization in Horserace Betting	p. 221
Part II Papers in Production Planning and Logistics	p. 257
10 Multi-Stage Stochastic Programming for Natural Gas Infrastructure Design with a Production Perspective	p. 259
11 A Stochastic Programming Model for Optimizing the Production of Farmed Atlantic Salmon	p. 289
12 Prioritizing Network Interdiction of Nuclear Smuggling	p. 313
13 Sawmill Production Planning Under Uncertainty: Modelling and Solution Approaches	p. 347
Part III Papers on Energy	p. 397
14 An Electricity Procurement Model with Energy and Peak Charges	p. 399
15 A Stochastic Game Model Applied to the Nordic Electricity Market	p. 421
16 Multi-Lag Benders Decomposition for Power Generation Planning with Nonanticipativity Constraints on the Dispatch of LNG Thermal Plants	p. 443
Part IV Papers on Telecommunications	p. 465
17 Stochastic Second-Order Cone Programming in Mobile Ad-Hoc Networks: Sensitivity to Input Parameters	p. 467
18 Stochastic Frequency Assignment Problem	p. 487
Index	p. 513

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