Dynamic Stochastic Optimization

by Kurt Marti

This volume considers optimal stochastic decision processes from the viewpoint of stochastic programming. It focuses on theoretical properties and on approximate or numerical solution techniques for time-dependent optimization problems with random parameters (multistage stochastic programs, optimal stochastic decision processes). Methods for finding approximate solutions of probabilistic and expected cost based deterministic substitute problems are presented. Besides theoretical and numerical considerations, the proceedings volume contains selected refereed papers on many practical applications to economics and engineering: risk, risk management, portfolio management, finance, insurance-matters and control of robots.

348 pages, Kindle Edition

First published January 12, 2003

About the author

Kurt Marti was a Swiss theologian and poet. His poetry often has theological and religious aspects to it. He is also known for dialect literature said to have intellectual quality.