03288nam a22006375i 4500 978-3-031-76432-5 DE-He213 20251030114628.0 cr nn 008mamaa 241219s2024 sz | s |||| 0|eng d 9783031764325 978-3-031-76432-5 10.1007/978-3-031-76432-5 doi QA402.5-402.6 PBU bicssc MAT042000 bisacsh PBU thema Pennanen, Teemu. author. aut http://id.loc.gov/vocabulary/relators/aut 89192 Convex Stochastic Optimization [electronic resource] : Dynamic Programming and Duality in Discrete Time / by Teemu Pennanen, Ari-Pekka Perkkiö. 1st ed. 2024. Cham : Springer Nature Switzerland : Imprint: Springer, 2024. XI, 412 p. online resource. text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Probability Theory and Stochastic Modelling, 2199-3149 ; 107 - 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions. 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. Mathematical optimization. 65522 Probabilities. 65724 Social sciences Mathematics. 69736 Functional analysis. Calculus of variations. 67268 System theory. 66519 Control theory. 68675 Continuous Optimization. 77198 Probability Theory. 67428 Mathematics in Business, Economics and Finance. 69739 Functional Analysis. Calculus of Variations and Optimization. 67270 Systems Theory, Control. 68676 Perkkiö, Ari-Pekka. author. aut http://id.loc.gov/vocabulary/relators/aut 89193 SpringerLink (Online service) Springer Nature eBook Printed edition: 9783031764318 Printed edition: 9783031764332 Printed edition: 9783031764349 Probability Theory and Stochastic Modelling, 2199-3149 ; 107 79725 https://doi.org/10.1007/978-3-031-76432-5 ZDB-2-SMA ZDB-2-SXMS 65854 65854