Convex Stochastic Optimization : Dynamic Programming and Duality in Discrete Time
2024 ed.
Book Details
Format
Hardback or Cased Book
Book Series
Probability Theory and Stochastic Modelling
ISBN-10
3031764315
ISBN-13
9783031764318
Edition
2024 ed.
Publisher
Springer International Publishing AG
Imprint
Springer International Publishing AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Dec 19th, 2024
Print length
412 Pages
Product Classification:
Cybernetics & systems theoryCybernetics and systems theoryEconomics, finance, business & managementEconomics, Finance, Business and ManagementFunctional analysis & transformsFunctional analysis and transformsProbability & statisticsProbability and statisticsOptimizationApplied mathematicsStochastics
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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.
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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