Contact
How to shop
Delivery
Shopping guide
Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
English
132 b
Delivery to Austria
Up to 30 days for returns
Customers also purchased
/
Paperback
19.99
€
/
Paperback
15.99
€
/
Paperback
9.99
€
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.
About the book
English
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Paperback
13.49
€
/
Paperback
21.79
€
/
Hardback
229.79
€
/
Paperback
39.59
€
/
Paperback
25.89
€
