Convex Stochastic Optimization Dynamic Programming and Duality in Discrete Time /

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 s...

Descripció completa

Dades bibliogràfiques

Autors principals:	Pennanen, Teemu (Autor), Perkkiö, Ari-Pekka (Autor)
Autor corporatiu:	SpringerLink (Online service)
Format:	Electrònic eBook
Idioma:	anglès
Publicat:	Cham : Springer Nature Switzerland : Imprint: Springer, 2024.
Edició:	1st ed. 2024.
Col·lecció:	Probability Theory and Stochastic Modelling, 107
Matèries:	Mathematical optimization. Probabilities. Social sciences > Mathematics. Functional analysis. Calculus of variations. System theory. Control theory. Continuous Optimization. Probability Theory. Mathematics in Business, Economics and Finance. Functional Analysis. Calculus of Variations and Optimization. Systems Theory, Control.
Accés en línia:	https://doi.org/10.1007/978-3-031-76432-5
Etiquetes:	Afegir etiqueta Sense etiquetes, Sigues el primer a etiquetar aquest registre!