Stochastic multi-stage optimization. At the crossroads between discrete time stochastic control and stochastic programming

DOI10.1007/978-3-319-18138-7MaRDI QIDQ5249299zbMATH OpenOpenAlexFDO

Authors Guy Cohen, Michel De Lara, Pierre Carpentier, Jean-Philippe Chancelier

Publication date 30 April 2015

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18138-7

zbMATH Keywords

stochastic optimizationmulti-agent systemsstochastic controlstochastic programmingmulti-stage optimizationinformation handling

Mathematics Subject Classification ID

Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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• Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to Stochastic Bellman Equation

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