J. Frédéric Bonnans
Convex and Stochastic Optimization
Paperback Engels 2019 9783030149765Levertijd ongeveer 9 werkdagen
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Samenvatting
This textbook provides an introduction to convex duality for optimization problems in Banach spaces, integration theory, and their application to stochastic programming problems in a static or dynamic setting. It introduces and analyses the main algorithms for stochastic programs, while the theoretical aspects are carefully dealt with.
The reader is shown how these tools can be applied to various fields, including approximation theory, semidefinite and second-order cone programming and linear decision rules.
This textbook is recommended for students, engineers and researchers who are willing to take a rigorous approach to the mathematics involved in the application of duality theory to optimization with uncertainty.
Specificaties
ISBN13:9783030149765
Taal:Engels
Bindwijze:paperback
Uitgever:Springer International Publishing
Serie:Universitext
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Inhoudsopgave
1 A convex optimization toolbox.- 2 Semidefinite and semiinfinite programming.- 3 An integration toolbox.- 4 Risk measures.- 5 Sampling and optimizing.- 6 Dynamic stochastic optimization.- 7 Markov decision processes.- 8 Algorithms.- 9 Generalized convexity and transportation theory.- References.- Index. <br>
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