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Shadow price of information in discrete time stochastic optimization |
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| Authors: | Pennanen Teemu Perkkiö Ari-Pekka |
| Institution: | 1.Department of Mathematics, King’s College London, London, UK ;2.Department of Mathematics, Technische Universität Berlin, Berlin, Germany ; |
| Abstract: | Mathematical Programming - The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This... |
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