Strugarek, Cyrille (2006) Variational approaches and other contributions in stochastic optimization. PhD thesis, ENSTA / UMA - Laboratoire de Mécanique Appliqués, ENPC.
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Abstract
The dissertation focuses on stochastic optimization. The first chapter proposes a typology of stochastic optimization problems. The second chapter proves that in the one dimensional case, only systems with linear dynamics and observations are open loop dual effect free. The third chapter enlightens the importance of the information structure of the random process when one aims at discretizing or giving stability results for multistage stochastic programs. The fourth chapter proposes a new family of stochastic algorithms which allow to seek for the optimal control as a function of the uncertainty. The fifth chapter shows the limits and possibilities of decomposition and agreggation for large scale dynamic stochastic programs.
| Item Type: | PhD Thesis (PhD) |
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| Thesis Supervisor: | Carpentier, Pierre and Sulem, Agnès |
| Date: | May 2006 |
| Board of examiners: | Wets, Roger J. -B. and Quadrat, Jean-Pierre and Cohen, Guy and Hiriart-urruty, Jean-Baptiste and AÏd, René and Henrion, René and Carpentier, Pierre and Sulem, Agnès |
| Ecole Doctorale: | ENPC |
| Collection (Fonds): | ENPC ENSTA |
| Institution: | ENPC |
| Department: | ENSTA / UMA - Laboratoire de Mécanique Appliqués |
| Subjects: | 1. Mathematics and Applications |
| Uncontrolled Keywords: | Optimisation stochastique, Algorithmes stochastiques, Stabilité décomposition, Agrégation, Principe du problème auxiliaire, Gradient stochastique |
| ID Code: | 1848 |
| Deposited By: | Christiane Baudry |
| Deposited On: | 17 July 2006 |
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