Stochastic multi-stage optimization [electronic resource] : at the crossroads between discrete time stochastic control and stochastic programming / Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel de Lara.
Carpentier, Pierre, author.; Chancelier, Jean-Philippe, author.; Cohen, Guy, author.; De Lara, Michel, 1961- author.
2015
QA274.2
Available Online

Linked e-resources

Linked Resource Online Access
Concurrent users Unlimited
Authorized users Authorized users
Document Delivery Supplied Can lend chapters, not whole ebooks

Details

Title Stochastic multi-stage optimization [electronic resource] : at the crossroads between discrete time stochastic control and stochastic programming / Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel de Lara.
Author Carpentier, Pierre, author.
ISBN 9783319181387 electronic book
3319181386 electronic book
9783319181370
DOI https://doi.org/10.1007/978-3-319-18138-7
Published Cham : Springer, 2015.
Language English
Description 1 online resource.
Other Standard Identifiers 10.1007/978-3-319-18138-7 doi
Call Number QA274.2
Dewey Decimal Classification 519.2
Summary The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (viewed May 13, 2015)
Added Author Chancelier, Jean-Philippe, author.
Cohen, Guy, author.
De Lara, Michel, 1961- author.
Series Probability theory and stochastic modelling ; 75.
Available in Other Form Print version: 9783319181370
Linked Resources Online Access
Record Appears in Online Resources > Ebooks
All Resources
I Preliminaries
1.Issues and Problems in Decision Making under Uncertainty
2.Open-Loop Control: The Stochastic Gradient Method
II Decision under Uncertainty and the Role of Information.- 3.Tools for Information Handling.- 4.Information and Stochastic Optimization Problems.- Optimality Conditions for SOC Problems
III Discretization and Numerical Methods
6.Discretization Methodology for Problems with SIS
7.Numerical Algorithms
IV Convergence Analysis
8.Convergence Issues in Stochastic Optimization
V Advanced Topics
9.Multi-Agent Decision Problems
Dual Effect for Multi-Agent Stochastic I-O Systems
VI Appendices
A. Basics in Analysis and Optimization
B. Basics in Probability
References
Index. .

Browse Subjects

Show more subjects...

Statistics

from
to
Export