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Stochastic Dynamic Programming
Kjetil Kåre Haugen
Open access
Chapter 1
Introduction
Fagfellevurdert
(side 13-25)
Open access
Chapter 2
SDP – basic concepts
Fagfellevurdert
(side 27-31)
Open access
Chapter 3
SDP - Benefits
Fagfellevurdert
(side 33-58)
Open access
Chapter 4
SDP - difficulties
Fagfellevurdert
(side 59-66)
Open access
Chapter 5
Infinite horizon problems
Fagfellevurdert
(side 67-82)
Open access
Chapter 6
Recent research
Fagfellevurdert
(side 83-90)
This text gives a comprehensive coverage of how optimization problems involving decisions and uncertainty may be handled by the methodology of Stochastic Dynamic Programming (SDP). A rapidly changing world with seemingly growing uncertainty needs a modern approach to this classic methodology. The book treats discrete, as well as continuous problems, all illustrated by relevant real world examples.

The book presents a comprehensive outline of SDP from its roots during World War II until today. Much of recent research are covered, as well as parts of the authors’ own original research. Algorithms and computer techniques are added when needed.

The book may serve as a supplementary text book on SDP (preferably at the graduate level) given adequate added background material.

Kjetil Kåre Haugen is a professor of Logistics and Sport Management at Molde University College, Specialized University in Logistics.

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