TY  - BOOK
AU  - Pennanen,Teemu
AU  - Perkkiö,Ari-Pekka
ED  - SpringerLink (Online service)
TI  - Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time 
T2  - Probability Theory and Stochastic Modelling,
SN  - 9783031764325
AV  - QA402.5-402.6 
PY  - 2024///
CY  - Cham
PB  - Springer Nature Switzerland, Imprint: Springer
KW  - Mathematical optimization
KW  - Probabilities
KW  - Social sciences
KW  - Mathematics
KW  - Functional analysis
KW  - Calculus of variations
KW  - System theory
KW  - Control theory
KW  - Continuous Optimization
KW  - Probability Theory
KW  - Mathematics in Business, Economics and Finance
KW  - Functional Analysis
KW  - Calculus of Variations and Optimization
KW  - Systems Theory, Control
N1  - - 1. Convex Stochastic Optimization -- 2. Dynamic Programming -- 3. Duality -- 4. Absence of a Duality Gap -- 5. Existence of Dual Solutions
N2  - 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
UR  - https://doi.org/10.1007/978-3-031-76432-5
ER  -