7  Stochastic and Adaptive Dynamic Programming Fundamentals

7.1  Overview

This chapter provides an overview of stochastic programming (SP) and adaptive dynamic programming (ADP) principle, formulation, variants, and potential applications to power systems control, operation, and planning problems. Applications of these methods in power system, finance, and other areas are in use.

7.2  Introduction to Stochastic Programming

Stochastic programming (SP) is an approach used whenever randomness and uncertainty present in a system. SP can be formulated as a linear integer, mixed integer, or nonlinear problem with uncertainty and randomness present into the problem [1]. Dantzing and Beale first introduced this method in 1955 [2,3].

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