Stochastic Multi-Stage Optimization

Beschreibung

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.
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.
Discusses the role of information in dynamic stochastic optimization problems Proposes a typology of information structures to delineate those which are numerically tractable Proposes discretization methods jointly handling the stochastic components and the information structure of tractable problems and studies convergence issues for numerically tractable information structures Includes supplementary material: sn.pub/extras

Autor*in

Pierre Carpentier

Themen in »Stochastic Multi-Stage Optimization«

93C15, 93C39, 49-XX, 60-XX discretization dynamical information numerical approximation optimization stochastic optimal control stochastic programming

Stimmen zu »Stochastic Multi-Stage Optimization«

“I consider the book as a guide to the different aspects of stochastic optimization and the most important motive for distinguishing it from other similar textbooks and monographs is a great emphasis put on the role of information.” (Jerzy Ombach, zbMATH 1336.90066, 2016)

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