Stochastic Multi-Stage Optimization: At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming (Probability Theory and Stochastic Modelling)

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

ISBN 10: 3319181378 ISBN 13: 9783319181370

Edit� par Springer, 2015

Neuf(s) Couverture rigide

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pp. 362. N� de r�f. du vendeur 26372461188

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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.

� 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, �cole 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, �cole des Ponts ParisTech, France.

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Titre : Stochastic Multi-Stage Optimization: At the ...
�diteur : Springer
Date d'�dition : 2015
Reliure : Couverture rigide
Etat : New

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Stochastic Multi-Stage Optimization: At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming (eng)

Carpentier, Pierre

Edit� par Springer, 2015

ISBN 10 : 3319181378 ISBN 13 : 9783319181370

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Stochastic Multi-Stage Optimization

Pierre Carpentier|Jean-Philippe Chancelier|Guy Cohen|Michel De Lara

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

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

Pierre Carpentier

Edit� par Springer, Palgrave Macmillan, 2015

ISBN 10 : 3319181378 ISBN 13 : 9783319181370

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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N� de r�f. du vendeur 9783319181370

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Stochastic Multi-Stage Optimization

Pierre Carpentier

Edit� par Springer International Publishing, Springer Nature Switzerland Mai 2015, 2015

ISBN 10 : 3319181378 ISBN 13 : 9783319181370

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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 380 pp. Englisch. N� de r�f. du vendeur 9783319181370

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Stochastic Multi-Stage Optimization

Pierre Carpentier

Edit� par Springer International Publishing, Springer International Publishing Mai 2015, 2015

ISBN 10 : 3319181378 ISBN 13 : 9783319181370

Neuf Couverture rigide

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Buch. Etat : Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 380 pp. Englisch. N� de r�f. du vendeur 9783319181370

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