Information Relaxations and Duality in Stochastic Dynamic Programs: A Review and Tutorial

ISBN-13: 9781680839623 / Angielski / Miękka / 2022 / 108 str.

David B. Brown; James E. Smith

Spis treści

• 1. Introduction
• 2. Basic Framework
• 3. Main Results
• 4. Convex Dynamic Programs
• 5. Summary of the Information Relaxation Approach
• 6. Example: Inventory Management
• 7. Example: Dynamic Assortment Planning
• 8. Example: Portfolio Optimization with Transaction Costs
• 9. Advances in Methodology
• 10. Applications
• 11. Conclusions
• References