Differentiability conditions for stochastic hybrid systems with application to the optimal design of microgrids

DOI10.1007/S10957-017-1096-1zbMATH Open1381.37111OpenAlexW2596175100MaRDI QIDQ2363577FDOQ2363577

Authors: Alphonse Hakizimana, Joseph K. Scott 

Publication date: 20 July 2017

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1096-1

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zbMATH Keywords

sensitivity analysisstochastic optimizationhybrid systemdecision rule

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamical systems in optimization and economics (37N40) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

• Introduction to Discrete Event Systems
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• Design of near optimal decision rules in multistage adaptive mixed-integer optimization
• Generation capacity expansion in a risky environment: a stochastic equilibrium analysis
• Scenario construction and reduction applied to stochastic power generation expansion planning
• Primal and dual linear decision rules in stochastic and robust optimization
• Gradient estimation for discrete-event systems by measure-valued differentiation
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• Continuity and differentiability of expected value functions in dynamic discrete choice models
• Derivatives of probability functions and integrals over sets given by inequalities
• Numerical Issues in Statistical Computing for the Social Scientist
• Differentiability of probability function
• A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives

Uses Software

• UMDES

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