Authors:
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: Probability Theory and Stochastic Modelling (PTSM, volume 75)
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Table of contents (10 chapters)
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Front Matter
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Preliminaries
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Front Matter
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Decision Under Uncertainty and the Role of Information
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Front Matter
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Discretization and Numerical Methods
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Front Matter
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Convergence Analysis
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Front Matter
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Multi-Agent Systems
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Front Matter
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Back Matter
About this book
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)
Authors and Affiliations
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ENSTA ParisTech, Palaiseau, France
Pierre Carpentier
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Mathématiques et Calcul Scientifique (CERMICS), École Nationale des Ponts et Chaussées ParisTech, Marne la Vallée, France
Jean-Philippe Chancelier
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CERMICS, École Nationale des Ponts et Chaussées ParisTech, Marne la Vallée, France
Guy Cohen
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École Nationale des Ponts et Chaussées ParisTech, Marne la Vallée, France
Michel De Lara
About the authors
Bibliographic Information
Book Title: Stochastic Multi-Stage Optimization
Book Subtitle: At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming
Authors: Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara
Series Title: Probability Theory and Stochastic Modelling
DOI: https://doi.org/10.1007/978-3-319-18138-7
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2015
Hardcover ISBN: 978-3-319-18137-0Published: 19 May 2015
Softcover ISBN: 978-3-319-36515-2Published: 09 October 2016
eBook ISBN: 978-3-319-18138-7Published: 05 May 2015
Series ISSN: 2199-3130
Series E-ISSN: 2199-3149
Edition Number: 1
Number of Pages: XVII, 362
Number of Illustrations: 31 b/w illustrations, 14 illustrations in colour
Topics: Continuous Optimization, Probability Theory and Stochastic Processes