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  • At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming
    Pierre Carpentier; Jean-Philippe Chancelier; Guy Cohen; Michel De Lara
    978-3-319-18138-7
    2015
    Edition 1
    • Discusses the role of information in dynamic stochastic optimization problems
    • Proposes a typology of information structures to delineate those which are numerically tractable
    • Proposes discretization methods jointly handling the stochastic components and the information structure of tractable problems and studies convergence issues for numerically tractable information structures
    • Includes supplementary material: sn.pub/extras

    €200

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