Stochastic Optimization Methods - Hardcover

Kurt Marti

Hardcover

ISBN 10: 3540222723 ISBN 13: 9783540222729

Publisher: Springer, 2005

Synopsis

Book by Marti, Kurt

About this title

From the Back Cover

Optimization problems arising in practice involve random model parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, 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 occurring probabilities and expectations, approximative solution techniques must be applied. 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, differentiation formulas for probabilities and expectations.

About the Author

Dr. Kurt Marti is a full Professor of Engineering Mathematics at the „Federal Armed Forces University of Munich“. He is Chairman of the IFIP-Working Group 7.7 on “Stochastic Optimization” and has been Chairman of the GAMM-Special Interest Group “Applied Stochastics and Optimization”. Professor Marti has published several books, both in German and in English, and he is author of more than 160 papers in refereed journals.

Edition details

• Publisher: Springer
• Publication date: 2005
• Language: English
• ISBN 10: 3540222723
• ISBN 13: 9783540222729
• Binding: Hardcover
• Edition number: 1
• Number of pages: 314