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Convex Stochastic Optimization

Name: Convex Stochastic Optimization
Brand: Springer
SKU: 47701050
Price: 156.69 EUR
Availability: InStock
Author: Teemu Pennanen
ISBN: 9783031764325

Dynamic Programming and Duality in Discrete Time

Teemu Pennanen

Ari-Pekka Perkkio

Jezik

Angleščina

E-knjiga Adobe ePub DRM

Založba Springer, december 2024

This book studies a general class of convex stochastic optimization (CSO) problems that unifies many... Celoten opis

Koda Libristo: 47701050

380 b

156.69 €

Na zalogi Prenesi zdaj

This book studies a general class of convex stochastic optimization (CSO) problems that unifies many common problem formulations from operations research, financial mathematics and stochastic optimal control. We extend the theory of dynamic programming and convex duality to allow for a unified and simplified treatment of various special problem classes found in the literature. The extensions allow also for significant generalizations to existing problem formulations. Both dynamic programming and duality have played crucial roles in the development of various optimality conditions and numerical techniques for the solution of convex stochastic optimization problems.