Stochastic optimization methods [electronic resource] : applications in engineering and operations research / Kurt Marti.

Unlimited

Authorized users

Can lend chapters, not whole ebooks

Stochastic optimization methods [electronic resource] : applications in engineering and operations research / Kurt Marti.

Third edition.

9783662462140 electronic book
3662462141 electronic book
9783662462133

Heidelberg : Springer, 2015.

English

1 online resource (xxiv, 368 pages) : illustrations

10.1007/978-3-662-46214-0 doi

QA274 .M37 2015eb

519.2/3

This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where 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 probabilities and expectations involved, the book also shows how to apply approximative solution techniques. 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, and differentiation formulas for probabilities and expectations. In the third edition, this book further develops stochastic optimization methods. In particular, it now shows how to apply stochastic optimization methods to the approximate solution of important concrete problems arising in engineering, economics and operations research.

Includes bibliographical references and index.

Access limited to authorized users.

Online resource; title from PDF title page (SpringerLink, viewed February 25, 2015).

Print version: 9783662462133

Online Resources > Ebooks
All Resources