Stochastic optimization methods [electronic resource] / Kurt Marti.
Annotation Optimization problems arising in practice involve random model parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insenistive with respect to random parameter variations, appropriate deterministic substitute problems are needed. Based on the probabi...
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Full Text (via Springer) |
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| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin ; London :
Springer,
©2008.
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| Edition: | 2nd ed. |
| Subjects: |
MARC
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| 100 | 1 | |a Marti, Kurt, |d 1943- |0 http://id.loc.gov/authorities/names/n79080115 |1 http://isni.org/isni/0000000121473876. | |
| 245 | 1 | 0 | |a Stochastic optimization methods |h [electronic resource] / |c Kurt Marti. |
| 250 | |a 2nd ed. | ||
| 260 | |a Berlin ; |a London : |b Springer, |c ©2008. | ||
| 300 | |a 1 online resource (xiii, 340 pages) : |b illustrations. | ||
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| 500 | |a Previous edition: 2004. | ||
| 504 | |a Includes bibliographical references (pages 327-334) and index. | ||
| 520 | 8 | |a Annotation Optimization problems arising in practice involve random model parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insenistive with respect to random parameter variations, appropriate deterministic substitute problems are needed. Based on the probability distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into appropriate deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Several deterministic and stochastic approximation methods are provided: Taylor expansion methods, regression and response surface methods (RSM), probability inequalities, multiple linearization of survival/failure domains, discretization methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation and gradient procedures, differentiation formulas for probabilities and expectations. | |
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181. | |
| 650 | 0 | |a Mathematical optimization. |0 http://id.loc.gov/authorities/subjects/sh85082127. | |
| 650 | 7 | |a Mathematical optimization. |2 fast |0 (OCoLC)fst01012099. | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519. | |
| 776 | 0 | 8 | |i Print version: |a Marti, Kurt, 1943- |t Stochastic optimization methods. |b 2nd ed. |d Berlin ; London : Springer, ©2008 |z 9783540794578 |z 3540794573 |w (DLC) 2008925523 |w (OCoLC)227032487. |
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