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Stochastic Programming Methods and Technical Applications

Proceedings of the 3rd GAMM/IFIP-Workshop on “Stochastic Optimization: Numerical Methods and Technical Applications” held at the Federal Armed Forces University Munich, Neubiberg/München, Germany, June 17–20, 1996

  • Conference proceedings
  • © 1998

Overview

Editors:
  1. Kurt Marti

    1. Fakultät für Luft- und Raumfahrttechnik, Universität der Bundeswehr München, Neubiberg/München, Germany

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  2. Peter Kall

    1. Institut für Operations Research, Universität Zürich, Zürich, Switzerland

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  • The book presents * basic modelling techniques, * new theoretical models and conceptual solution techniques, * new numerical methods and computer support and * technical applications of stochastic optimization.

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 458)

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Table of contents (27 papers)

  1. Front Matter

    Pages I-X
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  3. Theoretical Models and Conceptual Methods

    1. Stochastic Optimization Approach to Dynamic Problems with Jump Changing Structure

      • Vadim I. Arkin
      Pages 104-110

    2. Reflections on Robust Optimization

      • Jitka Dupačová
      Pages 111-127

    3. On Constrained Discontinuous Optimization

      • Yuri Ermoliev, Vladimir Norkin
      Pages 128-144

    4. On the Equivalence in Stochastic Programming with Probability and Quantile Objectives

      • Yu. S. Kan, A. A. Mistryukov
      Pages 145-153

    5. A Note on Multifunctions in Stochastic Programming

      • Vlasta Kaňková
      Pages 154-168

    6. Approximation of Extremum Problems with Probability Cost Functionals

      • Riho Lepp
      Pages 169-185

    7. Global Optimization of Probabilities by the Stochastic Branch and Bound Method

      • Vladimir Norkin
      Pages 186-201

    8. Robust Stability of Interval Matrices: a Stochastic Approach

      • B. T. Polyak
      Pages 202-207

    9. A Note on Preprocessing via Fourier-Motzkin Elimination in Two-Stage Stochastic Programming

      • Rüdiger Schultz
      Pages 208-222

    10. Bounds for the Reliability of k-out-of-connected-(r,s)-from-(m,n):F Lattice Systems

      • T. Szántai
      Pages 223-237

    11. On a Relation between Problems of Calculus of Variations and Mathematical Programming

      • Tamás Rapcsák, Anna Vásárhelyi
      Pages 238-248
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Keywords

About this book

Optimization problems arising in practice usually contain several random parameters. Hence, in order to obtain optimal solutions being robust with respect to random parameter variations, the mostly available statistical information about the random parameters should be considered already at the planning phase. The original problem with random parameters must be replaced by an appropriate deterministic substitute problem, and efficient numerical solution or approximation techniques have to be developed for those problems. This proceedings volume contains a selection of papers on modelling techniques, approximation methods, numerical solution procedures for stochastic optimization problems and applications to the reliability-based optimization of concrete technical or economic systems.

Editors and Affiliations

  • Fakultät für Luft- und Raumfahrttechnik, Universität der Bundeswehr München, Neubiberg/München, Germany

    Kurt Marti

  • Institut für Operations Research, Universität Zürich, Zürich, Switzerland

    Peter Kall

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