Stochastic Optimization Methods - Applications in Engineering and Operations Research (Paperback, Softcover reprint of the original 3rd ed. 2015)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Release date:	October 2016
First published:	2015
Authors:	Kurt Marti
Dimensions:	235 x 155 x 26mm (L x W x T)
Format:	Paperback
Pages:	368
Edition:	Softcover reprint of the original 3rd ed. 2015
ISBN-13:	978-3-662-50012-5
Categories:	Books > Business & Economics > General Books > Computing & IT > General Books > Science & Mathematics > Mathematics > Optimization > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN:	3-662-50012-4
Barcode:	9783662500125

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