Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time (Probability Theory and Stochastic Modelling #107)

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Synopsis
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.
Copyright:
2024

Book Details

Book Quality:
Publisher Quality
ISBN-13:
9783031764325
Related ISBNs:
9783031764318
Publisher:
Springer Nature Switzerland
Date of Addition:
Copyrighted By:
The Editor
Adult content:
No
Language:
English
Has Image Descriptions:
No
Categories:
Nonfiction, Science, Mathematics and Statistics
Submitted By:
Bookshare Staff
Usage Restrictions:
This is a copyrighted book.

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