Stochastic multi-stage optimization. At the crossroads between discrete time stochastic control and stochastic programming

DOI10.1007/978-3-319-18138-7MaRDI QIDQ5249299zbMATH OpenOpenAlexFDO

Authors Guy Cohen, Michel De Lara, Pierre Carpentier, Jean-Philippe Chancelier

Publication date 30 April 2015

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18138-7

zbMATH Keywords

information handlingmulti-agent systemsmulti-stage optimizationstochastic controlstochastic optimizationstochastic programming

Mathematics Subject Classification ID

Numerical methods for mathematical programming, optimization and variational techniques (65K99) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Stochastic programming (90C15)

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Cited in

(14)

• The nested Sinkhorn divergence to learn the nested distance
• Mixed spatial and temporal decompositions for large-scale multistage stochastic optimization problems
• On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
• Kuhn's equivalence theorem for games in product form
• Variational approaches and other contributions in stochastic optimization.
• Stochastic recursive algorithms for optimization. Simultaneous perturbation methods
• Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to Stochastic Bellman Equation
• scientific article; zbMATH DE number 958363 (Why is no real title available?)
• scientific article; zbMATH DE number 7733435 (Why is no real title available?)
• scientific article; zbMATH DE number 7733443 (Why is no real title available?)
• scientific article; zbMATH DE number 7733457 (Why is no real title available?)
• Differentiability and regularization of parametric convex value functions in stochastic multistage optimization
• Duality in convex stochastic optimization
• Stochastic decomposition applied to large-scale hydro valleys management

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