Information relaxations and duality in stochastic dynamic programs:
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Boston ; Delft
Now Publishers
2022
|
| Schriftenreihe: | Foundations and trends in optimization
Vol. 5, no. 3 |
| Schlagwörter: | |
| Links: | https://www.nowpublishers.com/article/Download/OPT-027 |
| Abstract: | Written in a tutorial style, the authors summarize the key ideas of information relaxation methods for stochastic DPs and demonstrate their use in several examples. They provide a "one-stop-shop" for researchers seeking to learn the key ideas and tools for using information relaxation methods. Intro -- Introduction -- Outline of the Monograph -- History and Literature Review -- Basic Framework -- Main Results -- Duality Results -- Good Penalties -- Properties of Information Relaxation Bounds -- Convex Dynamic Programs -- Summary of the Information Relaxation Approach -- Example: Inventory Management -- Standard Model -- Information Relaxations and Penalties -- Example Numerical Results -- With Uncertainty About the ''State of the World'' -- Example: Dynamic Assortment Planning -- DAP: The Model -- DAP: Lagrangian Relaxations and Index Policies -- DAP: Information Relaxation Bounds -- DAP: Numerical Experiments -- Example: Portfolio Optimization with Transaction Costs -- Portfolio Optimization Model -- Information Relaxation Bounds -- Numerical Examples -- Advances in Methodology -- Pathwise Optimization -- Infinite-Horizon Problems -- Hindsight Analysis -- Applications -- Energy and Commodity Applications -- Sequential Exploration Problems -- Portfolio Optimization -- Inventory Management -- Reinforcement Learning -- Other Applications -- Conclusions -- References. |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Umfang: | 1 online resource (102 pages) |
| ISBN: | 9781680839630 |
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| 245 | 1 | 0 | |a Information relaxations and duality in stochastic dynamic programs |c David B. Brown (Fuqua School of Business Duke University USA), James E. Smith (Tuck School of Business Dartmouth College USA) |
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| 490 | 1 | |a Foundations and trends in optimization |v Vol. 5, no. 3 | |
| 500 | |a Description based on publisher supplied metadata and other sources | ||
| 520 | 3 | |a Written in a tutorial style, the authors summarize the key ideas of information relaxation methods for stochastic DPs and demonstrate their use in several examples. They provide a "one-stop-shop" for researchers seeking to learn the key ideas and tools for using information relaxation methods. | |
| 520 | 3 | |a Intro -- Introduction -- Outline of the Monograph -- History and Literature Review -- Basic Framework -- Main Results -- Duality Results -- Good Penalties -- Properties of Information Relaxation Bounds -- Convex Dynamic Programs -- Summary of the Information Relaxation Approach -- Example: Inventory Management -- Standard Model -- Information Relaxations and Penalties -- Example Numerical Results -- With Uncertainty About the ''State of the World'' -- Example: Dynamic Assortment Planning -- DAP: The Model -- DAP: Lagrangian Relaxations and Index Policies -- DAP: Information Relaxation Bounds -- DAP: Numerical Experiments -- Example: Portfolio Optimization with Transaction Costs -- Portfolio Optimization Model -- Information Relaxation Bounds -- Numerical Examples -- Advances in Methodology -- Pathwise Optimization -- Infinite-Horizon Problems -- Hindsight Analysis -- Applications -- Energy and Commodity Applications -- Sequential Exploration Problems -- Portfolio Optimization -- Inventory Management -- Reinforcement Learning -- Other Applications -- Conclusions -- References. | |
| 653 | 0 | |a Stochastic programming | |
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Datensatz im Suchindex
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| author | Brown, David B. Smith, James E. |
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| discipline | Mathematik Elektrotechnik / Elektronik / Nachrichtentechnik |
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| id | DE-604.BV048833966 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:53:14Z |
| institution | BVB |
| isbn | 9781680839630 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034099507 |
| oclc_num | 1371328195 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 online resource (102 pages) |
| psigel | ebook |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | Now Publishers |
| record_format | marc |
| series | Foundations and trends in optimization |
| series2 | Foundations and trends in optimization |
| spellingShingle | Brown, David B. Smith, James E. Information relaxations and duality in stochastic dynamic programs Foundations and trends in optimization |
| title | Information relaxations and duality in stochastic dynamic programs |
| title_auth | Information relaxations and duality in stochastic dynamic programs |
| title_exact_search | Information relaxations and duality in stochastic dynamic programs |
| title_full | Information relaxations and duality in stochastic dynamic programs David B. Brown (Fuqua School of Business Duke University USA), James E. Smith (Tuck School of Business Dartmouth College USA) |
| title_fullStr | Information relaxations and duality in stochastic dynamic programs David B. Brown (Fuqua School of Business Duke University USA), James E. Smith (Tuck School of Business Dartmouth College USA) |
| title_full_unstemmed | Information relaxations and duality in stochastic dynamic programs David B. Brown (Fuqua School of Business Duke University USA), James E. Smith (Tuck School of Business Dartmouth College USA) |
| title_short | Information relaxations and duality in stochastic dynamic programs |
| title_sort | information relaxations and duality in stochastic dynamic programs |
| volume_link | (DE-604)BV047879910 |
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