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Convex stochastic optimization = dynamic programming and duality in discrete time /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Convex stochastic optimization/ by Teemu Pennanen, Ari-Pekka Perkkiö.
Reminder of title:	dynamic programming and duality in discrete time /
Author:	Pennanen, Teemu.
other author:	Perkkiö, Ari-Pekka.
Published:	Cham :Springer Nature Switzerland : : 2024.,
Description:	xi, 412 p. :ill., digital ; : 24 cm.;
Contained By:	Springer Nature eBook
Subject:	Mathematical optimization. -
Online resource:	https://doi.org/10.1007/978-3-031-76432-5
ISBN:	9783031764325

Convex stochastic optimization = dynamic programming and duality in discrete time /
Pennanen, Teemu.

Convex stochastic optimizationdynamic programming and duality in discrete time /[electronic resource] :by Teemu Pennanen, Ari-Pekka Perkkiö. - Cham :Springer Nature Switzerland :2024. - xi, 412 p. :ill., digital ;24 cm. - Probability theory and stochastic modelling,v. 1072199-3149 ;. - Probability theory and stochastic modelling ;v.72..

- 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions.

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.

ISBN: 9783031764325

Standard No.: 10.1007/978-3-031-76432-5doiSubjects--Topical Terms:

527675
Mathematical optimization.

LC Class. No.: QA402.5

Dewey Class. No.: 519.6

Convex stochastic optimization = dynamic programming and duality in discrete time /
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