Stochastic Multi-Stage Optimization: At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming (Probability Theory and Stochastic Modelling, #75)

by Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, and Michel De Lara

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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.
  • ISBN13 9783319181370
  • Publish Date 19 May 2015 (first published 1 January 2015)
  • Publish Status Active
  • Publish Country CH
  • Imprint Springer International Publishing AG
  • Edition 2015 ed.
  • Format Hardcover
  • Pages 362
  • Language English