Stochastic Optimization Methods

by Kurt Marti

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 an

MoreLess

Year of publication:	2005
Other Persons:	Marti, Kurt (contributor)
Publisher:	Berlin, Heidelberg : Springer Berlin · Heidelberg
Subject:	Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Stochastische Optimierung
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Extent:	Online-Ressource (XIII, 314 p. 14 illus, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Preliminaries; Preface; Contents; 1 Decision/Control Under Stochastic Uncertainty; 2 Deterministic Substitute Problems in Optimal Decision Under Stochastic Uncertainty; 3 Differentiation Methods for Probability and Risk Functions; 4 Deterministic Descent Directions and Efficient Points; 5 RSM-Based Stochastic Gradient Procedures; 6 Stochastic Approximation Methods with Changing Error Variances; 7 Approximation of the Probability of Failure/Survival in Plastic Structural Analysis and Optimal Plastic Design; A Sequences, Series and Products; B Convergence Theorems for Stochastic Sequences C Tools from Matrix CalculusReferences; Index;
ISBN:	978-3-540-26848-2 ; 978-3-540-22272-9
Other identifiers:	10.1007/b138181 [DOI]
Classification:	Methoden und Techniken der Betriebswirtschaft ; Analysis: Sonstiges ; Wahrscheinlichkeitsrechnung ; Angewandte Mathematik
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014014008