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Item Details
| Title:
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STOCHASTIC OPTIMIZATION METHODS
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| By: |
Kurt Marti |
| Format: |
Hardback |
| List price:
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£94.50 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
3540222723 |
| ISBN 13: |
9783540222729 |
| Publisher: |
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
| Pub. date: |
8 October, 2004 |
| Pages: |
327 |
| Description: |
Provides an overview of stochastic optimization and considers nonlinear optimization problems. |
| Synopsis: |
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 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. |
| Illustrations: |
14 black & white illustrations |
| Publication: |
Germany |
| Imprint: |
Springer-Verlag Berlin and Heidelberg GmbH & Co. K |
| Returns: |
Non-returnable |
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