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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
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

Carpentier, Pierre
Chancelier, Jean-Philippe
Cohen, Guy

Paperback

Series: Probability Theory and Stochastic Modelling, Book 75

General MathematicsProbability & Statistics

ISBN10: 3319365150
ISBN13: 9783319365152
Publisher: Springer
Published: Oct 9 2016
Pages: 362
Weight: 1.18
Height: 0.79 Width: 6.14 Depth: 9.21
Language: English
​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.

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