Stochastic method for the solution of unconstrained vector optimization problems (Q700771): Difference between revisions
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English | Stochastic method for the solution of unconstrained vector optimization problems |
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Stochastic method for the solution of unconstrained vector optimization problems (English)
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8 October 2002
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This paper presents a new stochastic algorithm for the solution of unconstrained vector optimization problems based on a special class of stochastic differential equations. The numerical treatment of these stochastic differential equations leads to algorithm for the computation of Pareto-optimal solutions of the problem \[ (\text{VOP})\qquad \min_{x\in\mathbb{R}^m} (f(x)), \] where \(f: \mathbb{R}^n\to \mathbb{R}^m\) is a twice-continuously differentiable vector valued function. Here a partial order is defined on \(\mathbb{R}^m\) as the following. A vector \(u= (u_i)\) is called less or equal to \(v= (v_i)\) if \(u_i\leq v_i\) for all \(i\), and a point \(\widehat x\) is called a Pareto optimal solution if there exists no \(w\) with \(f(w)\neq f(\widehat x)\) and \(f(w)\leq f(\widehat x)\).
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vector optimization problems
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curves of dominated points
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Brownian motion
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stochastic differential equations
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