Stochastic Multi-Stage Optimization : At the Crossroads Between Discrete Time Stochastic Control and Stochastic Programming
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.
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Details
- ISBN-13: 9783319181370
- ISBN-10: 3319181378
- Publisher: Springer
- Publish Date: May 2015
- Dimensions: 9.21 x 6.14 x 0.88 inches
- Shipping Weight: 1.56 pounds
- Page Count: 362
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