Numerical Methods for Convex Multistage Stochastic Optimization
Author:   Guanghui Lan ,  Alexander Shapiro
Publisher:   now publishers Inc
ISBN:  

9781638283508


Pages:   94
Publication Date:   22 May 2024
Format:   Paperback
Availability:   In Print   Availability explained
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Numerical Methods for Convex Multistage Stochastic Optimization


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Overview

Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). This monograph concentrates on SP and SOC modeling approaches. In these frameworks, there are natural situations when the considered problems are convex.

Full Product Details

Author:   Guanghui Lan ,  Alexander Shapiro
Publisher:   now publishers Inc
Imprint:   now publishers Inc
Weight:   0.146kg
ISBN:  

9781638283508


ISBN 10:   1638283508
Pages:   94
Publication Date:   22 May 2024
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

1. Introduction 2. Stochastic Programming 3. Stochastic Optimal Control 4. Risk Averse and Distributionally Robust Optimization 5. Dynamic Cutting Plane Algorithms 6. Computation Complexity of Cutting Plane Methods 7. Dynamic Stochastic Approximation Algorithms 8. Conclusions Acknowldgements References

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