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

Stochastic Multi-Stage Optimization At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming / by Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara.

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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Bibliographic Details
Main Authors: Carpentier, Pierre (Author), Chancelier, Jean-Philippe (Author), Cohen, Guy (Author), De Lara, Michel (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edition:1st ed. 2015.
Series:Probability Theory and Stochastic Modelling, 75
Springer eBook Collection.
Subjects:
Mathematical optimization.
Probabilities.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Description
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.
Physical Description:XVII, 362 p. 45 illus., 14 illus. in color. online resource.
ISBN:9783319181387
ISSN:2199-3130 ;
DOI:10.1007/978-3-319-18138-7

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