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Peter Kall and János Mayer are distinguished scholars and professors of Operations Research and their research interest is particularly devoted to the area of stochastic optimization. STOCHASTIC LINEAR PROGRAMMING: Models, Theory, and Computation is a definitive presentation and discussion of the theoretical properties of the models, the conceptual algorithmic approaches, and the computational issues relating to the implementation of these methods to solve problems that are stochastic in nature. The application area of stochastic programming includes portfolio analysis, financial optimization, energy problems, random yields in manufacturing, risk analysis, etc. In this book models in financial optimization and risk analysis are discussed as examples, including solution methods and their implementation. Stochastic programming is a fast developing area of optimization and mathematical programming. Numerous papers and conference volumes, and several monographs have been published in the area; however, the Kall & Mayer book will be particularly useful in presenting solution methods including their solid theoretical basis and their computational issues, based in many cases on implementations by the authors. The book is also suitable for advanced courses in stochastic optimization.

Linear programming. --- Stochastic processes. --- Random processes --- Probabilities --- Production scheduling --- Programming (Mathematics) --- Mathematical optimization. --- Engineering mathematics. --- Distribution (Probability theory. --- Operations research. --- Mathematics. --- Optimization. --- Operations Research, Management Science. --- Mathematical and Computational Engineering. --- Probability Theory and Stochastic Processes. --- Operations Research/Decision Theory. --- Applications of Mathematics. --- Math --- Science --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Distribution functions --- Frequency distribution --- Characteristic functions --- Engineering --- Engineering analysis --- Mathematical analysis --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Maxima and minima --- Operations research --- Simulation methods --- System analysis --- Mathematics --- Management science. --- Applied mathematics. --- Probabilities. --- Decision making. --- Deciding --- Decision (Psychology) --- Decision analysis --- Decision processes --- Making decisions --- Management --- Management decisions --- Choice (Psychology) --- Problem solving --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Quantitative business analysis --- Statistical decision --- Decision making --- Engineering—Data processing. --- Operations Research, Management Science . --- Mathematical and Computational Engineering Applications. --- Probability Theory. --- Operations Research and Decision Theory.

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The book contains description of a real life application of modern mathematical optimization tools in an important problem solution for power networks. The objective is the modelling and calculation of optimal daily scheduling of power generation, by thermal power plants,  to satisfy all demands at minimum cost, in such a way that the  generation and transmission capacities as well as the demands at the nodes of the system appear in an integrated form. The physical parameters of the network are also taken into account. The obtained large-scale mixed variable problem is relaxed in a smart, practical way, to allow for fast numerical solution of the problem.

Mathematics. --- Operations research. --- Management science. --- Mathematical optimization. --- Industrial engineering. --- Production engineering. --- Operations Research, Management Science. --- Industrial and Production Engineering. --- Continuous Optimization. --- Management engineering --- Simplification in industry --- Engineering --- Value analysis (Cost control) --- Electric power production --- Mathematical models. --- Electric power generation --- Electricity generation --- Power production, Electric --- Electric power systems --- Electrification --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- System analysis --- Manufacturing engineering --- Process engineering --- Mechanical engineering --- Quantitative business analysis --- Management --- Problem solving --- Statistical decision