Stochastic Multi-Stage Optimization: At the Crossroads Between Discrete Time Stochastic Control and Stochastic Programming - Couverture rigide

Livre 6 sur 34: Probability Theory and Stochastic Modelling

Carpentier, Pierre; Chancelier, Jean-Philippe; Cohen, Guy; De Lara, Michel

 
9783319181370: Stochastic Multi-Stage Optimization: At the Crossroads Between Discrete Time Stochastic Control and Stochastic Programming
Couverture rigide
ISBN 10 : 3319181378 ISBN 13 : 9783319181370
Editeur : Springer International Publishing AG, 2015

Synopsis

​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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À propos de l?auteur

Professor Pierre Carpentier's primary research areas are Decomposition and Coordination for the Optimization of Large-Scale Systems in the stochastic framework, with a special interest in numerical methods. He is currently working at the applied mathematics unit UMA, ENSTA ParisTech, France. Professor J. Ph. Chancelier's research contributions have been in the fields of Stochastic Optimization, Control and Computer Languages for Numerical Computations. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France. The main research contributions of Professor Guy Cohen have been in the theory of Decomposition and Coordination for the Optimization of Large-Scale Systems, in the development of a "linear" theory of a certain class of Discrete Event Systems based on the use of the so-called Max-Plus algebra, and more recently in numerical methods for Stochastic Optimal Control. He is currently a Researcher Emeritus. Professor Michel De Lara's main theoretical research fields are control theory and stochastic control. With regard to applications, he specializes in developing mathematical methods for the sustainable management of natural resources, concentrating on renewable energy and biodiversity. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer International Publishing AG
Date d'édition
2015
Langue
anglais
ISBN 10 
3319181378
ISBN 13 
9783319181370
Reliure
Relié
Nombre de pages
379
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Autres éditions populaires du même titre

9783319365152: Stochastic Multi-Stage Optimization: At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming

Edition présentée

ISBN 10 :  3319365150 ISBN 13 :  9783319365152
Editeur : Springer, 2016
Couverture souple