Numerical Methods for Convex Multistage Stochastic Optimization
Guanghui Lan & Alexander Shapiro
Numerical Methods for Convex Multistage Stochastic Optimization
Guanghui Lan & Alexander Shapiro
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Omschrijving
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.