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来源类型 | Book |
规范类型 | 图书 |
ISBN | 3-540-40506-2 |
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) |
URL | http://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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