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Probability Theory and Stochastic Modelling

Stochastic Multi-Stage Optimization

At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming

Authors: Carpentier, P., Chancelier, J.-P., Cohen, G., De Lara, M.

  • Discusses the role of information in dynamic stochastic optimization problems
  • Proposes a typology of information  structures to delineate those which are numerically tractable
  • Proposes discretization methods jointly handling the stochastic components and the information structure of tractable problems and studies convergence issues for numerically tractable information structures
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eBook 79,72 €
price for France (gross)
  • ISBN 978-3-319-18138-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 100,21 €
price for France (gross)
  • ISBN 978-3-319-18137-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover 100,21 €
price for France (gross)
  • ISBN 978-3-319-36515-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

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.

Reviews

“I consider the book as a guide to the different aspects of stochastic optimization and the most important motive for distinguishing it from other similar textbooks and monographs is a great emphasis put on the role of information.” (Jerzy Ombach, zbMATH 1336.90066, 2016)


Table of contents (10 chapters)

  • Issues and Problems in Decision Making Under Uncertainty

    Carpentier, Pierre (et al.)

    Pages 3-26

    Preview Buy Chapter 29,94 €
  • Open-Loop Control: The Stochastic Gradient Method

    Carpentier, Pierre (et al.)

    Pages 27-62

    Preview Buy Chapter 29,94 €
  • Tools for Information Handling

    Carpentier, Pierre (et al.)

    Pages 65-93

    Preview Buy Chapter 29,94 €
  • Information and Stochastic Optimization Problems

    Carpentier, Pierre (et al.)

    Pages 95-132

    Preview Buy Chapter 29,94 €
  • Optimality Conditions for Stochastic Optimal Control (SOC) Problems

    Carpentier, Pierre (et al.)

    Pages 133-152

    Preview Buy Chapter 29,94 €

Buy this book

eBook 79,72 €
price for France (gross)
  • ISBN 978-3-319-18138-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 100,21 €
price for France (gross)
  • ISBN 978-3-319-18137-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover 100,21 €
price for France (gross)
  • ISBN 978-3-319-36515-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Multi-Stage Optimization
Book Subtitle
At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming
Authors
Series Title
Probability Theory and Stochastic Modelling
Series Volume
75
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-18138-7
DOI
10.1007/978-3-319-18138-7
Hardcover ISBN
978-3-319-18137-0
Softcover ISBN
978-3-319-36515-2
Series ISSN
2199-3130
Edition Number
1
Number of Pages
XVII, 362
Number of Illustrations and Tables
31 b/w illustrations, 14 illustrations in colour
Topics