Convex Stochastic Optimization

Dynamic Programming and Duality in Discrete Time

By: Teemu Pennanen, Ari-Pekka Perkkiö

Write A Review

eText | 18 December 2024

At a Glance

Format
ePUB

eText

$249.00

or 4 interest-free payments of $62.25 with

Instant online reading in your Booktopia eTextbook Library *

Read online on

Desktop

Tablet

Mobile

Not downloadable to your eReader or an app

Why choose an eTextbook?

Instant Access *

Purchase and read your book immediately

Read Aloud

Listen and follow along as Bookshelf reads to you

Study Tools

Built-in study tools like highlights and more

* eTextbooks are not downloadable to your eReader or an app and can be accessed via web browsers only. You must be connected to the internet and have no technical issues with your device or browser that could prevent the eTextbook from operating.

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.