| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/S0377-2217(96)00395-5 |
| On nonsmooth and discontinuous problems of stochastic systems optimization. | |
| Ermoliev YM; Norkin VI | |
| 发表日期 | 1997 |
| 出处 | European Journal of Operational Research 101 (2): 230-244 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | A class of stochastic optimization problems is analyzed that cannot be solved by deterministic and standard stochastic approximation methods. We consider risk-control problems, optimization of stochastic networks and discrete event systems, screening irreversible changes, and pollution control. The results of Ermoliev et al. are extended to the case of stochastic systems and general constraints. It is shown that the concept of stochastic mollifier gradient leads to easily implementable computational procedures for systems with Lipschitz and discontinuous objective functions. New optimality conditions are formulated for designing stochastic search procedures for constrained optimization of discontinuous systems. |
| 主题 | Risk, Modeling, Policy (RMP) |
| 关键词 | Stochastic approximation Deterministic counterpart Discontinuity Theory of distributions Subgradients Stochastic quasi-gradients Networks Risk Mollifiers |
| URL | http://pure.iiasa.ac.at/id/eprint/5051/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/127590 |
| 推荐引用方式 GB/T 7714 | Ermoliev YM,Norkin VI. On nonsmooth and discontinuous problems of stochastic systems optimization.. 1997. |
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