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

by Pierre Carpentier, Jean-Philippe Chancelier, Michel De Lara, et al.

Book Overview

​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...

• Format: Paperback
• Language: English
• ISBN: 3319365150
• ISBN13: 9783319365152
• Release Date: October 2016
• Publisher: Springer
• Length: 362 Pages
• Weight: 1.18 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"