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Stochastic Optimization Methods

Authors: Marti, Kurt

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  • Features many illustrations, several examples, and applications to concrete problems from engineering and operations research, including
  • quality engineering and robust design
  • Includes many references to stochastic optimization, stochastic programming and its application to engineering, operations research and economics
  • Presents the material from a practical viewpoint
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eBook $129.00
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  • ISBN 978-3-540-79458-5
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Softcover $169.00
price for USA in USD
  • ISBN 978-3-642-09836-9
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About this book

Optimization problems arising in practice involve random model parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, 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 occurring probabilities and expectations, approximative solution techniques must be applied. 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, differentiation formulas for probabilities and expectations.

About the authors

Dr. Kurt Marti is a full Professor of Engineering Mathematics at the „Federal Armed Forces University of Munich“. He is Chairman of the IFIP-Working Group 7.7 on “Stochastic Optimization” and has been Chairman of the GAMM-Special Interest Group “Applied Stochastics and Optimization”. Professor Marti has published several books, both in German and in English, and he is author of more than 160 papers in refereed journals.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $129.00
price for USA in USD
  • ISBN 978-3-540-79458-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $169.00
price for USA in USD
  • ISBN 978-3-642-09836-9
  • 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
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Optimization Methods
Authors
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-79458-5
DOI
10.1007/978-3-540-79458-5
Softcover ISBN
978-3-642-09836-9
Edition Number
2
Number of Pages
XIII, 340
Topics