صورة الغلاف

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...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Pennanen, Teemu (مؤلف), Perkkiö, Ari-Pekka (مؤلف)
مؤلف مشترك: SpringerLink (Online service)
التنسيق: الكتروني كتاب الكتروني
اللغة:الإنجليزية
منشور في: Cham : Springer Nature Switzerland : Imprint: Springer, 2024.
الطبعة:1st ed. 2024.
سلاسل:Probability Theory and Stochastic Modelling, 107
الموضوعات:
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.
الوصول للمادة أونلاين:https://doi.org/10.1007/978-3-031-76432-5
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الوصف
الملخص: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.
وصف مادي:1 online resource (XI, 412 p.).
ردمك:9783031764325
تدمد:2199-3149 ;
DOI:10.1007/978-3-031-76432-5

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