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Convex Stochastic Optimization

Dynamic Programming and Duality in Discrete Time

Medium: Buch
ISBN: 978-3-031-76431-8
Verlag: Springer Nature Switzerland
Erscheinungstermin: 19.12.2024
Lieferfrist: bis zu 10 Tage

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.


Produkteigenschaften


  • Artikelnummer: 9783031764318
  • Medium: Buch
  • ISBN: 978-3-031-76431-8
  • Verlag: Springer Nature Switzerland
  • Erscheinungstermin: 19.12.2024
  • Sprache(n): Englisch
  • Auflage: 2025
  • Serie: Probability Theory and Stochastic Modelling
  • Produktform: Gebunden
  • Gewicht: 797 g
  • Seiten: 412
  • Format (B x H x T): 160 x 241 x 29 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

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