Stochastic Optimization Methods

Stochastic Optimization Methods

AngličtinaEbook
Marti, Kurt
Springer Berlin Heidelberg
EAN: 9783540268482
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Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.
EAN 9783540268482
ISBN 3540268480
Typ produktu Ebook
Vydavatel Springer Berlin Heidelberg
Datum vydání 5. prosince 2005
Jazyk English
Země Germany
Autoři Marti, Kurt