Generalized bounds for convex multistage stochastic programs /
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| Author / Creator: | Kuhn, Daniel. |
|---|---|
| Imprint: | Berlin : Springer, c2005. |
| Description: | xi, 190 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Lecture notes in economics and mathematical systems ; 548 Lecture notes in economics and mathematical systems 548. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5528954 |
Table of Contents:
- 1. Introduction
- 2. Basic theory of stochastic optimization
- 3. Convex stochastic programs
- 4. Barycentric approximation scheme
- 5. Extensions
- 6. Applications in the power industry
- 7. Conclusions
- A. Conjugate duality
- B. Lagrangian duality
- C. Penalty-based optimization
- D. Parametric families of linear functions
- E. Lipschitz continuity of sup-projections.