Convex Stochastic Optimization : Dynamic Programming and Duality in Discrete Time / / by Teemu Pennanen, Ari-Pekka Perkkiö
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| Autore: |
Pennanen Teemu
|
| Titolo: |
Convex Stochastic Optimization : Dynamic Programming and Duality in Discrete Time / / by Teemu Pennanen, Ari-Pekka Perkkiö
|
| Pubblicazione: | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 |
| Edizione: | 1st ed. 2024. |
| Descrizione fisica: | 1 online resource (420 pages) |
| Disciplina: | 519.6 |
| Soggetto topico: | Mathematical optimization |
| Probabilities | |
| Social sciences - Mathematics | |
| Functional analysis | |
| Calculus of variations | |
| System theory | |
| Control theory | |
| Continuous Optimization | |
| Probability Theory | |
| Mathematics in Business, Economics and Finance | |
| Functional Analysis | |
| Calculus of Variations and Optimization | |
| Systems Theory, Control | |
| Altri autori: |
PerkkiöAri-Pekka
|
| Nota di contenuto: | - 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Convex Stochastic Optimization |
| ISBN: | 9783031764325 |
| 3031764323 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910918697703321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Probability Theory and Stochastic Modelling, . 2199-3149 ; ; 107