Shadow price of information in discrete time stochastic optimization

DOI10.1007/s10107-017-1163-2zbMath1402.90107arXiv1601.05202OpenAlexW2344397676WikidataQ59528938 ScholiaQ59528938MaRDI QIDQ2413091

Ari-Pekka Perkkiö, Teemu Pennanen

Publication date: 6 April 2018

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.05202

zbMATH Keywords

dualitymultistage stochastic programming

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15)

Related Items

Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to Stochastic Bellman Equation, Parameter-dependent stochastic optimal control in finite discrete time, Duality and optimality conditions in stochastic optimization and mathematical finance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on closedness of the sum of two closed subspaces in a Banach space
• Existence of solutions in non-convex dynamic programming and optimal investment
• Intégrales convexes et probabilités
• Conditional expectation of integrands and random sets
• Continuous versus measurable recourse in N-stage stochastic programming
• Stochastic convex programming: Kuhn-Tucker conditions
• Integrals, conditional expectations, and martingales of multivalued functions
• Stochastic programs without duality gaps
• Optimal investment and contingent claim valuation in illiquid markets
• Integrals which are convex functionals
• Integrals which are convex functionals. II
• Convex Duality in Stochastic Optimization and Mathematical Finance
• Deterministic and stochastic optimization problems of bolza type in discrete time
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• The shadow price of information in continuous time decision problems
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
• Measurable Selection and Dynamic Programming
• The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
• Variational Analysis
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Level Sets and Continuity of Conjugate Convex Functions
• Convex Analysis
• Finitely Additive Measures