Probability Theory and Stochastic Modelling

At the Crossroads between Discrete Time Stochastic Control and Stochastic Programming

By: Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen

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Hardcover | 19 May 2015

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Hardcover
382 Pages

Dimensions(cm)
22.86 x 15.88 x 1.91

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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.

Industry Reviews

"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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