Stochastic Multi-Stage Optimization At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming /

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 opti...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Carpentier, Pierre (Autor), Chancelier, Jean-Philippe (Autor), Cohen, Guy (Autor), De Lara, Michel (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edición:1st ed. 2015.
Colección:Probability Theory and Stochastic Modelling, 75
Temas:
Mathematical optimization.
Probabilities.
Continuous Optimization.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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