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
“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)
Professor Pierre Carpentier’s primary research areas are Decomposition and Coordination for the Optimization of Large-Scale Systems in the stochastic framework, with a special interest in numerical methods. He is currently working at the applied mathematics unit UMA, ENSTA ParisTech, France. Professor J. Ph. Chancelier’s research contributions have been in the fields of Stochastic Optimization, Control and Computer Languages for Numerical Computations. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France. The main research contributions of Professor Guy Cohen have been in the theory of Decomposition and Coordination for the Optimization of Large-Scale Systems, in the development of a “linear” theory of a certain class of Discrete Event Systems based on the use of the so-called Max-Plus algebra, and more recently in numerical methods for Stochastic Optimal Control. He is currently a Researcher Emeritus. Professor Michel De Lara’s main theoretical research fields are control theory and stochastic control. With regard to applications, he specializes in developing mathematical methods for the sustainable management of natural resources, concentrating on renewable energy and biodiversity. He currently holds a position at the applied mathematics center research CERMICS, École des Ponts ParisTech, France.
| SKU | Unavailable |
| ISBN 13 | 9783319181370 |
| ISBN 10 | 3319181378 |
| Title | Stochastic Multi-Stage Optimization |
| Author | Pierre Carpentier |
| Series | Probability Theory And Stochastic Modelling |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Springer International Publishing AG |
| Year published | 2015-05-19 |
| Number of pages | 362 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |