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