Stochastic Multi-Stage Optimization by Pierre Carpentier
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.-
Foundations of Modern Probability
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Geometry of Level Sets of Random Fields, Kac–Rice Formulas, Hermite Expansions and Applications
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Dynamics on Graphs
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Hybrid Switching Diffusions
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Nonlinear Expectations and Stochastic Calculus under Uncertainty
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Probability on Compact Lie Groups
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Measure-Valued Branching Markov Processes
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Pseudo-Regularly Varying Functions and Generalized Renewal Processes
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Stochastic Disorder Problems
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Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes
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Analysis and Approximation of Rare Events
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Random Ordinary Differential Equations and Their Numerical Solution
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Stochastic Evolution Systems
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Ambit Stochastics
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Mathematical Control Theory for Stochastic Partial Differential Equations
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Dirichlet Forms Methods for Poisson Point Measures and Levy Processes
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Lectures on Monte Carlo Theory
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Stochastic Control Theory
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Random Measures, Theory and Applications
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Yosida Approximations of Stochastic Differential Equations in Infinite Dimensions and Applications
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Random Walks in the Quarter Plane
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Stochastic Flows and Jump-Diffusions
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The Quasispecies Equation and Classical Population Models
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Asymptotic Theory of Weakly Dependent Random Processes
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Stable Convergence and Stable Limit Theorems
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Stochastic Integration in Banach Spaces
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Continuous-Time Markov Decision Processes
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Dynamic Markov Bridges and Market Microstructure
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Limit Theorems for Multi-Indexed Sums of Random Variables
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Markov Renewal and Piecewise Deterministic Processes
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Convex Stochastic Optimization
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| ISBN 13 | |
| ISBN 10 | |
| Title | Stochastic Multi-Stage Optimization |
| Author | Pierre Carpentier |
| Series | |
| Condition | Unavailable |
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| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
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