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Softcover - 9783031764349
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Beschreibung
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.
Dynamic Programming and Duality in Discrete Time
Dynamic Programming and Duality in Discrete Time
Details
| Verlag | Springer International Publishing |
| Ersterscheinung | 19. Dezember 2024 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 797 Gramm |
| Format | Hardcover |
| ISBN-13 | 9783031764318 |
| Seiten | 412 |
Schlagwörter
Angewandte Mathematik, Calculus of Variations and Optimization, Continuous Optimization, Functional Analysis, Funktionalanalysis und Abwandlungen, Kybernetik und Systemtheorie, Mathematics in Business - Economics and Finance, Optimierung, Probability Theory, Stochastik, Systems Theory - Control, Wahrscheinlichkeitsrechnung und Statistik, Wirtschaftswissenschaft - Finanzen - Betriebswirtschaft und Management
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