Stochastic Multi-Stage Optimization At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming /
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...
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| Những tác giả chính: | , , , |
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| Tác giả của công ty: | |
| Định dạng: | Điện tử eBook |
| Ngôn ngữ: | English |
| Được phát hành: |
Cham :
Springer International Publishing : Imprint: Springer,
2015.
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| Phiên bản: | 1st ed. 2015. |
| Loạt: | Probability Theory and Stochastic Modelling,
75 |
| Những chủ đề: | |
| Truy cập trực tuyến: | https://doi.org/10.1007/978-3-319-18138-7 |
| Các nhãn: |
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Mục lục:
- 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.