Introduction to Linear Optimization and Extensions with MATLAB®

Introduction to Linear Optimization and Extensions with MATLAB®

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Filling the need for an introductory book on linear programming that discusses the important ways to mitigate parameter uncertainty, Introduction to Linear Optimization and Extensions with MATLABAr provides a concrete and intuitive yet rigorous introduction to modern linear optimization. In addition to fundamental topics, the book discusses current linear optimization technologies such as predictor-path following interior point methods for both linear and quadratic optimization as well as the inclusion of linear optimization of uncertainty i.e. stochastic programming with recourse and robust optimization. The author introduces both stochastic programming and robust optimization as frameworks to deal with parameter uncertainty. The authora€™s unusual approacha€”developing these topics in an introductory booka€”highlights their importance. Since most applications require decisions to be made in the face of uncertainty, the early introduction of these topics facilitates decision making in real world environments. The author also includes applications and case studies from finance and supply chain management that involve the use of MATLAB. Even though there are several LP texts in the marketplace, most do not cover data uncertainty using stochastic programming and robust optimization techniques. Most emphasize the use of MS Excel, while this book uses MATLAB which is the primary tool of many engineers, including financial engineers. The book focuses on state-of-the-art methods for dealing with parameter uncertainty in linear programming, rigorously developing theory and methods. But more importantly, the authora€™s meticulous attention to developing intuition before presenting theory makes the material come alive.x This book has nearly 100 exercises and a complete solutions manual is available to instructors. Several of the problems require the use of MATLAB. PowerPoint slides are also available for each chapter. Additional material is available fromanbsp;...

Title:Introduction to Linear Optimization and Extensions with MATLAB®
Author:Roy H. Kwon
Publisher:CRC Press - 2013-09-05


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