On stochastic programming ii: dynamic problems under risk∗

DOI10.1080/17442508808833530zbMath0653.90054MaRDI 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

measurability; expected value of perfect information; Lagrangean decomposition; dynamic stochastic programming; 2-stage problems; discrete time stochastic control; dual multiplier processes

Mathematics Subject Classification ID

90C15: Stochastic programming

90C39: Dynamic programming

93E20: Optimal stochastic control

90-02: Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming

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