Dynamic Programming and Duality in Discrete Time Pennanen, Teemu. creator author. aut http://id.loc.gov/vocabulary/relators/aut Perkkiö, Ari-Pekka. author. aut http://id.loc.gov/vocabulary/relators/aut SpringerLink (Online service) text sz 2024 1st ed. 2024. monographic eng

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access XI, 412 p. online resource. 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. - 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions. by Teemu Pennanen, Ari-Pekka Perkkiö. Mathematical optimization Probabilities Social sciences Mathematics Functional analysis Calculus of variations System theory Control theory Continuous Optimization Probability Theory Mathematics in Business, Economics and Finance Functional Analysis Calculus of Variations and Optimization Systems Theory, Control QA402.5-402.6 9783031764325 https://doi.org/10.1007/978-3-031-76432-5 https://doi.org/10.1007/978-3-031-76432-5 241219 20251030114628.0 978-3-031-76432-5