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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
Dual solutions in convex stochastic optimization
Teemu Pennanen, Ari-Pekka Perkkiö
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality g…
math.OC2022★ 1 cited
Michael selections and Castaing representations with cadlag functions
Ari-Pekka Perkkiö, Erick Treviño-Aguilar
Michael's selection theorem implies that a closed convex nonempty-valued mapping from the Sorgenfrey line to a euclidean space is inner semicontinuous if and only if the mapping ca…