On stochastic programming ii: dynamic problems under risk∗

DOI10.1080/17442508808833530zbMath0653.90054OpenAlexW2052695292WikidataQ126242159 ScholiaQ126242159MaRDI QIDQ3799818

Michael A. H. Dempster

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833530

zbMATH Keywords

measurabilityexpected value of perfect informationLagrangean decompositiondynamic stochastic programming2-stage problemsdiscrete time stochastic controldual multiplier processes

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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