Stochastic Multi-Stage Optimization

At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming

Nonfiction, Science & Nature, Mathematics, Applied, Statistics
Cover of the book Stochastic Multi-Stage Optimization by Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara, Springer International Publishing
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Author: Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara ISBN: 9783319181387
Publisher: Springer International Publishing Publication: May 5, 2015
Imprint: Springer Language: English
Author: Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara
ISBN: 9783319181387
Publisher: Springer International Publishing
Publication: May 5, 2015
Imprint: Springer
Language: English

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.

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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.

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