Information relaxations and duality in stochastic dynamic programs:
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 meth...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston ; Delft
Now Publishers
2022
|
| Schriftenreihe: | Foundations and trends in optimization
Vol. 5, no. 3 |
| Schlagworte: | |
| Online-Zugang: | TUM01 |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 online resource (102 pages) |
| ISBN: | 9781680839630 |
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| 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. | |
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Datensatz im Suchindex
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| discipline | Elektrotechnik Mathematik |
| discipline_str_mv | Elektrotechnik Mathematik |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:35:57Z |
| indexdate | 2024-07-10T09:47:17Z |
| institution | BVB |
| isbn | 9781680839630 |
| language | English |
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| series | Foundations and trends in optimization |
| series2 | Foundations and trends in optimization |
| spelling | Brown, David B. Verfasser (DE-588)13958353X aut 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) Boston ; Delft Now Publishers 2022 1 online resource (102 pages) txt rdacontent c rdamedia cr rdacarrier Foundations and trends in optimization Vol. 5, no. 3 Description based on publisher supplied metadata and other sources 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. Stochastic programming Smith, James E. Verfasser (DE-588)171437985 aut Erscheint auch als Druck-Ausgabe 978-1-68083-962-3 Foundations and trends in optimization Vol. 5, no. 3 (DE-604)BV047879910 5,3 |
| 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_exact_search_txtP | 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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