Convex Stochastic Optimization - Pennanen, Teemu; Perkkiö, Ari-Pekka; - Prospero Internet Bookshop
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Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time
 
Product details:
ISBN13:9783031764318
ISBN10:3031764315
Binding:Hardback
No. of pages:412 pages
Size:235x155 mm
Language:English
Illustrations: XI, 412 p.
680
Category:

Convex Stochastic Optimization

Dynamic Programming and Duality in Discrete Time
 
Edition number: 2024
Publisher: Springer
Date of Publication:
Number of Volumes: 1 pieces, Book
 
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EUR 160.49
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Short description:

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.

Long description:

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.

Table of Contents:

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