G2TT
来源类型Book
规范类型图书
ISBN3-540-40506-2
Dynamic Stochastic Optimization.
Marti K; Ermoliev YM; Pflug GC
发表日期2003
出版者Springer-Verlag, Heidelberg, Germany
出版年2003
语种英语
摘要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 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.
主题Risk, Modeling and Society (RMS)
URLhttp://pure.iiasa.ac.at/id/eprint/6959/
来源智库International Institute for Applied Systems Analysis (Austria)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/126475
推荐引用方式
GB/T 7714
Marti K,Ermoliev YM,Pflug GC. Dynamic Stochastic Optimization.. 2003.
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