Data error analysis in unconstrained optimization problems with the CESTAC method

DOI10.1016/0378-4754(88)90074-2MaRDI QIDQ1118985zbMATH OpenOpenAlexFDO

Authors Nicole Alliot

Publication date 1988

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(88)90074-2

zbMATH Keywords

CESTAC methoddistribution of the solutioninexact datameannumerical examplestandard deviationunconstrained optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Nonlinear programming (90C30)

Review text

This paper is concerned with the solution of optimization problems that depend on inexact data from a known distribution: how does the solution depend on the data? A method to estimate mean and standard deviation of the distribution of the solution is proposed. This method is about three times as expensive as a single optimization. The algorithm is described and a simple example is considered.

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• scientific article; zbMATH DE number 3523045 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Implémentation des méthodes d'optimisation : test d'arrêt optimal, contrôle et précision de la solution
• Linear and non-linear programming software validity
• New methods for evaluating the validity of the results of mathematical computations

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• A variant of the CESTAC method and its application to constrained optimization
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