Convex Stochastic Optimization
Dynamic Programming and Duality in Discrete Time
Series: Probability Theory and Stochastic Modelling; 107;
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Product details:
- Edition number 2024
- Publisher Springer
- Date of Publication 19 December 2024
- Number of Volumes 1 pieces, Book
- ISBN 9783031764318
- Binding Hardback
- No. of pages412 pages
- Size 235x155 mm
- Language English
- Illustrations XI, 412 p. 672
Categories
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.
MoreLong 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.
MoreTable of Contents:
- 1. Convex Stochastic Optimization.- 2. Dynamic Programming.- 3. Duality.- 4. Absence of a Duality Gap.- 5. Existence of Dual Solutions.
More
