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

DOI10.1007/S10957-017-1096-1MaRDI QIDQ2363577zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 192895 (Why is no real title available?)
• scientific article; zbMATH DE number 2002582 (Why is no real title available?)
• scientific article; zbMATH DE number 3349637 (Why is no real title available?)
• A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
• Continuity and differentiability of expected value functions in dynamic discrete choice models
• Derivatives of probability functions and integrals over sets given by inequalities
• Design of near optimal decision rules in multistage adaptive mixed-integer optimization
• Differentiability of probability function
• Generation capacity expansion in a risky environment: a stochastic equilibrium analysis
• Gradient estimation for discrete-event systems by measure-valued differentiation
• Introduction to Discrete Event Systems
• Numerical Issues in Statistical Computing for the Social Scientist
• Primal and dual linear decision rules in stochastic and robust optimization
• Scenario construction and reduction applied to stochastic power generation expansion planning

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