Stochastic Optimisation Methods in Engineering and Operations

Stochastic optimization algorithms have been growing rapidly in popularity over the last decade or two, with a number of methods now becoming “industry standard” approaches for solving challenging optimization problems. This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where appropriate deterministic substitute problems are needed.