Stochastic Optimization Methods

Applications in Engineering and Operations Research

(Autor)

Buch | Hardcover
XXIV, 368 Seiten
2015 | 3rd ed. 2015
Springer Berlin (Verlag)
978-3-662-46213-3 (ISBN)

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Stochastic Optimization Methods - Kurt Marti
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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.

Kurt Marti, geb. 1921 in Bern, Studium der Jura, dann Theologie in Bern und Basel. Bis 1983 tätig als Pfarrer, u. a. an der Nydeggkirche in Bern. Er ist Ehrendoktor der theologischen Fakultät Bern, Mitbegründer der Schriftsteller-Gruppe Olten und der Erklärung von Bern. Zahlreiche Veröffentlichungen: Erzählungen, einen Roman, Gedichte, Tagebücher, Essays. Auszeichnungen: 1997 Kurt-Tucholsky-Preis für sein Gesamtwerk, 2002 Karl-Barth-Preis für sein'"theopoetisches' Werk.

Stochastic Optimization Methods.- Optimal Control Under Stochastic Uncertainty.- Stochastic Optimal Open-Loop Feedback Control.- Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC).- Optimal Design of Regulators.- Expected Total Cost Minimum Design of Plane Frames.- Stochastic Structural Optimization with Quadratic Loss Functions.- Maximum Entropy Techniques.

"The considered book presents a mathematical analysis of the stochastic models of important applied optimization problems. ... presents detailed methods to solve these problems, rigorously proves their properties, and uses examples to illustrate the proposed methods. This book would be particularly beneficial to mathematicians working in the field of stochastic control and mechanical design." (Antanas Zilinskas, Interfaces, Vol. 45 (6), 2015)

Erscheint lt. Verlag 23.3.2015
Zusatzinfo XXIV, 368 p. 23 illus.
Verlagsort Berlin
Sprache englisch
Maße 155 x 235 mm
Gewicht 729 g
Themenwelt Wirtschaft Allgemeines / Lexika
Wirtschaft Betriebswirtschaft / Management
Schlagworte Calculus • Model • Optimization Problems • Regression • response surface methodology • stochastic approximation • stochastic optimization
ISBN-10 3-662-46213-3 / 3662462133
ISBN-13 978-3-662-46213-3 / 9783662462133
Zustand Neuware
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