Lecture Notes in Economics and Mathematical Systems

Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs

Authors: Marti, Kurt

Free Preview

Buy this book

eBook 71,68 €
price for Spain (gross)
  • ISBN 978-3-662-02558-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 90,47 €
price for Spain (gross)
  • ISBN 978-3-540-18778-3
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.

Table of contents (9 chapters)

Table of contents (9 chapters)

Buy this book

eBook 71,68 €
price for Spain (gross)
  • ISBN 978-3-662-02558-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 90,47 €
price for Spain (gross)
  • ISBN 978-3-540-18778-3
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
299
Copyright
1988
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-02558-1
DOI
10.1007/978-3-662-02558-1
Softcover ISBN
978-3-540-18778-3
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XIV, 183
Number of Illustrations
1 b/w illustrations
Topics