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

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

,
5.0 / 5.0
0 comments
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.
Request Code : ZLIBIO4454158
Categories:
Year:
2024
Publisher:
Springer
Language:
English
ISBN 13:
9783031764325
ISBN:
9783031764318,9783031764325

Comments of this book

There are no comments yet.