Galerkin methods in dynamic stochastic programming

DOI10.1080/02331931003696368zbMath1196.90084MaRDI QIDQ3577835

Matti Koivu, Teemu Pennanen

Publication date: 26 July 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331931003696368

zbMATH Keywords

Galerkin method; convexity; dynamic stochastic programming; basis strategies

Mathematics Subject Classification ID

90C25: Convex programming

49M15: Newton-type methods

90C15: Stochastic programming

Related Items

Introduction to convex optimization in financial markets, Reduced form modeling of limit order markets, SUPERHEDGING IN ILLIQUID MARKETS

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