Generalized bounds for convex multistage stochastic programs /

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Bibliographic Details
Author / Creator:	Kuhn, Daniel, 1975-
Imprint:	Berlin ; London : Springer, 2005.
Description:	1 online resource (xi, 190 p.) : ill.
Language:	English
Series:	Lecture notes in economics and mathematical systems, 0075-8450 ; 548 Lecture notes in economics and mathematical systems ; 548.
Subject:	Stochastic approximation. Mathematical optimization. Stochastic approximation. Distribution (Probability theory) Economics. Mathematical optimization. Operations research.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8875947

Hidden Bibliographic Details
ISBN:	9783540269014 3540269010 3540225404 (pbk.) 9783540225409 (pbk.)
Notes:	Includes bibliographical references (p. [175]-181) and index. Description based on print version record.
Summary:	This book investigates convex multistage stochastic programs whose objective and constraint functions exhibit a generalized nonconvex dependence on the random parameters. Although the classical Jensen and Edmundson-Madansky type bounds or its extensions are generally not available for such problems, tight bounds can systematically be constructed under mild regularity conditions. A nice primal-dual symmetry property is revealed when the proposed bounding method is applied to linear stochastic programs. After having developed the theoretical concepts, exemplary real-life applications are studied.
Other form:	Print version: Kuhn, Daniel, 1975- Generalized bounds for convex multistage stochastic programs. Berlin ; London : Springer, 2005 3540225404 9783540225409

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