Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs

Name: Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540187783
Price: 20440 HUF
Availability: InStock

Szerző: Kurt Marti

Nyelv:

Kötés: Puha kötésű

Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Elérhetőség: Beszállítói készleten alacsony példányszámban

Küldés 11-15 napon belül

20 440 Ft

In engineering and economics a certain vector of inputs or decisions must often be chosen, subject t...

Információk a könyvről

Szerző

Kurt Marti

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

1988

oldal

183

EAN

9783540187783

ISBN

9783540187783

Enbook ID

03211507

Kiadó

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Súly

355

Méretek

170 x 244 x 11

Teljes leírás

In engineering and economics a certain vector of inputs or decisions must often be chosen, subject to some constraints, such that the expected costs arising from the deviation between the output of a stochastic linear system and a desired stochastic target vector are minimal. In many cases the loss function u is convex and the occuring random variables have, at least approximately, a joint discrete distribution. Concrete problems of this type are stochastic linear programs with recourse, portfolio optimization problems, error minimization and optimal design problems. In solving stochastic optimization problems of this type by standard optimization software, the main difficulty is that the objective function F and its derivatives are defined by multiple integrals. Hence, one wants to omit, as much as possible, the time-consuming computation of derivatives of F. Using the special structure of the problem, the mathematical foundations and several concrete methods for the computation of feasible descent directions, in a certain part of the feasible domain, are presented first, without any derivatives of the objective function F. It can also be used to support other methods for solving discretely distributed stochastic programs, especially large scale linear programming and stochastic approximation methods.

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs

Információk a könyvről

Teljes leírás

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták