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Convex stochastic optimization = dyn...

Pennanen, Teemu.

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

Record Type:	Electronic resources : 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.
[NT 15003449]:	- 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions.
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. 107..

- 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:

517763
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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100 1 $a Pennanen, Teemu. $3 3754736
245 1 0 $a Convex stochastic optimization $h [electronic resource] : $b dynamic programming and duality in discrete time / $c by Teemu Pennanen, Ari-Pekka Perkkiö.
260 $a Cham : $b Springer Nature Switzerland : $b Imprint: Springer, $c 2024.
300 $a xi, 412 p. : $b ill., digital ; $c 24 cm.
490 1 $a Probability theory and stochastic modelling, $x 2199-3149 ; $v v. 107
505 0 $a - 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions.
520 $a 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.
650 0 $a Mathematical optimization. $3 517763
650 0 $a Stochastic processes. $3 520663
650 0 $a Convex functions. $3 544201
650 1 4 $a Continuous Optimization. $3 1566748
650 2 4 $a Probability Theory. $3 3538789
650 2 4 $a Mathematics in Business, Economics and Finance. $3 3538573
650 2 4 $a Functional Analysis. $3 893943
650 2 4 $a Calculus of Variations and Optimization. $3 3538813
650 2 4 $a Systems Theory, Control. $3 893834
700 1 $a Perkkiö, Ari-Pekka. $3 3754737
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830 0 $a Probability theory and stochastic modelling ; $v v. 107. $3 3754738
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950 $a Mathematics and Statistics (SpringerNature-11649)