6 citations · 7 across the 3 of their papers we have counts for
3 papers
math.OC2025
Dynamic programming and dimensionality in convex stochastic optimization and control
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we…
math.OC2022★ 1 cited
Duality in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual probl…
math.PR2014★ 6 cited
Stochastic programs without duality gaps for objectives without a lower bound
Ari-Pekka Perkkiö
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove…