Convex and Stochastic Optimization

• Main Author: Bonnans, J. Frédéric (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Universitext,
• Subjects: Mathematical optimization.; Probabilities.; Optimization.; Probability Theory and Stochastic Processes.

This textbook provides an introduction to convex duality for optimization problems in Banach spaces, integration theory, and their application to stochastic programming problems in a static or dynamic setting. It introduces and analyses the main algorithms for stochastic programs, while the theoreti...

Table of Contents:

• 1 A convex optimization toolbox
• 2 Semidefinite and semiinfinite programming
• 3 An integration toolbox
• 4 Risk measures
• 5 Sampling and optimizing
• 6 Dynamic stochastic optimization
• 7 Markov decision processes
• 8 Algorithms
• 9 Generalized convexity and transportation theory
• References
• Index. .