Description: Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs, Paperback by Marti, Kurt, ISBN 3540187782, ISBN-13 9783540187783, Like New Used, Free P&P in the UK 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.
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Book Title: Descent Directions and Efficient Solutions in Discretely Distribu
Number of Pages: 183 Pages
Language: English
Publication Name: Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
Publisher: Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
Publication Year: 1988
Subject: Economics, Engineering & Technology, Computer Science, Mathematics, Management
Item Height: 244 mm
Item Weight: 355 g
Type: Textbook
Author: Kurt Marti
Subject Area: Data Analysis
Series: Lecture Notes in Economics and Mathematical Systems
Item Width: 170 mm
Format: Paperback
