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

• Main Authors: Carpentier, Pierre (Author), Chancelier, Jean-Philippe (Author), Cohen, Guy (Author), De Lara, Michel (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Series: Probability Theory and Stochastic Modelling, 75
• Subjects: Mathematics.; Mathematical optimization.; Probabilities.; Continuous Optimization.; Probability Theory and Stochastic Processes.

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...

Table of Contents:

• 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.