Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time eBook

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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.

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Convex Stochastic Optimization: Dynamic Programming and Duality in Discrete Time is written by Teemu Pennanen; Ari-Pekka Perkkiö and published by Springer. The Digital and eTextbook ISBNs for Convex Stochastic Optimization are 9783031764325, 3031764323 and the print ISBNs are 9783031764318, 3031764315.