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Universitext

Convex and Stochastic Optimization

Authors: Bonnans, J. Frédéric

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  • Provides a pedagogical, self-contained analysis of the theory of convex optimization and stochastic programming
  • Offers a synthetical view of many applications such as semidefinite programming, Markov processes, generalized convexity and optimal transport
  • Includes a study of algorithmic aspects: dynamic programming, stochastic dual dynamic programming (in the case of convex Bellman value functions) and linear decision rules
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About this Textbook

This textbook provides an introduction to convex duality for optimization problems in Banach spaces, integration theory, and their application to stochastic programming problems in a static or dynamic setting. It introduces and analyses the main algorithms for stochastic programs, while the theoretical aspects are carefully dealt with.

The reader is shown how these tools can be applied to various fields, including approximation theory, semidefinite and second-order cone programming and linear decision rules.

This textbook is recommended for students, engineers and researchers who are willing to take a rigorous approach to the mathematics involved in the application of duality theory to optimization with uncertainty.

About the authors

J.F. Bonnans is an expert in convex analysis and dynamic optimization, both in the deterministic and stochastic setting. His main contributions deal with the sensitivity analysis of optimization problems, high order optimality conditions, optimal control and stochastic control. He worked on quantization methods for stochastic programming problems, on the approximate dynamic programming for problems with monotone value function, and on sparse linear regression.

Reviews

“The book is mainly devoted to the theoretical study of concepts of stochastic programming. … The book offers a solid theoretical background for researchers/students/practitioners keen on disposing of a rigorous foundation of stochastic programming.” (Wim van Ackooij, Mathematical Reviews, November, 2019)

Table of contents (9 chapters)

Table of contents (9 chapters)

Buy this book

eBook $44.99
price for USA in USD
  • ISBN 978-3-030-14977-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA in USD
  • ISBN 978-3-030-14976-5
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Convex and Stochastic Optimization
Authors
Series Title
Universitext
Copyright
2019
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-14977-2
DOI
10.1007/978-3-030-14977-2
Softcover ISBN
978-3-030-14976-5
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XIII, 311
Topics

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