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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...

Täydet tiedot

Tallennettuna:
Bibliografiset tiedot
Päätekijät: Pennanen, Teemu (Tekijä), Perkkiö, Ari-Pekka (Tekijä)
Yhteisötekijä: SpringerLink (Online service)
Aineistotyyppi: Elektroninen E-kirja
Kieli:englanti
Julkaistu: Cham : Springer Nature Switzerland : Imprint: Springer, 2024.
Painos:1st ed. 2024.
Sarja:Probability Theory and Stochastic Modelling, 107
Aiheet:
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.
Linkit:https://doi.org/10.1007/978-3-031-76432-5
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Sisällysluettelo:
  • - 1. Convex Stochastic Optimization
  • 2. Dynamic Programming
  • 3. Duality
  • 4. Absence of a Duality Gap
  • 5. Existence of Dual Solutions.

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