Stochastic optimization methods.
The aim of the present book is to provide analytical and numerical tools, together with their mathematical foundations, for the approximate computation of robust optimal decisions/designs as needed in concrete engineering/economic applications. The contents of this book are as follows: 1. Decision/control under stochastic uncertainty, 2. Deterministic substitute problems in optimal decision under stochastic uncertainty, 3. Differentiation methods for probability and risk functions, 4. Deterministic descent directions and efficient points, 5. RSM-based stochastic gradient procedures, 6. Stochastic approximation methods with changing error variances, 7. Approximation of the probability of failure/survival in plastic structural analysis and optimal plastic design, Appendix. References. Index. In Chapter 1 and Chapter 2, the author presents basic methods and tools for the construction of appropriate deterministic substitute problems of different complexity and for various practical applications, fundamental analytical properties of reliability-based optimization/expected cost minimization problems. In Chapter 3 derivatives of probability and mean value functions are obtained by the methods: Transformation methods, stochastic completion and transformation, ortogonal function series expansion. Chapter 4 shows how nonconvex deterministic substitute problems can be approximated by convex mean value minimization problems. The numerical / interactive solution techniques of stochastic optimization problems based on hybrid stochastic approximation are presented in Chapter 5. In the first part of Chapter 5 gradient estimators based on Response Surface Methods (RSM) are described. Various extensions of hybrid stochastic approximation methods are treated in Chapter 6 on stochastic approximation methods with changing variance of the estimation error. Applications to the approximate computation of survival/failure probabilities for elastoplastic mechanical structures and its applications to stochastic structural optimization are given in Chapter 7. The book contains an appendix which refers to A. Sequences, series and products, B. Convergence theorems for stochastic sequences and C. Tools from matrix calculus. The book contains an index. The book is well written and the presentation is rigourous and self-contained.
- Optimization by stochastic methods.
- Stochastic Optimization
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- Stochastic global optimization.
- Stochastic methods.
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- Stochastic optimization with structured distributions: The case of Bayesian nets
- Stochastic optimization on Bayesian nets
- Solving stochastic structural optimization problems by RSM-based stochastic approximation methods -- gradient estimation in case of intermediate variables
- A stochastic model for drilling optimization.
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- Surrogate-based robust design for a non-smooth radiation source detection problem
- Decomposition coordination in deterministic and stochastic optimization
- Stochastic phase-field modeling of brittle fracture: computing multiple crack patterns and their probabilities
- Expected residual minimization method for monotone stochastic tensor complementarity problem
- Randomization in robustness, estimation, and optimization
- Extensions of stochastic optimization results to problems with system failure probability functions
- Limit load and shakedown analysis of plastic structures under stochastic uncertainty
- On shape optimization with stochastic loadings
- Comparison of some deterministic equivalent formulations of stochastic inequalities
- A class Of stochastic optimization problems with application to selective data editing
- A novel model predictive controller for uncertain constrained systems
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- Optimization under uncertainty via random sampling of scenarios. I
- Approximative solutions of stochastic optimization problems
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- scientific article; zbMATH DE number 3943563 (Why is no real title available?)
- Optimization under uncertainty with applications to design of truss structures
- Computation of probabilities of survival/failure of technical economic systems/structures by means of piecewise linearization of the performance function
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- scientific article; zbMATH DE number 1005357 (Why is no real title available?)
- scientific article; zbMATH DE number 1045614 (Why is no real title available?)
- Systemic risk and security management
- Modeling technological change under increasing returns and uncertainty
- A reinforcement learning approach to personalized learning recommendation systems
- Reconstruction of populations by stochastic optimization: sensitivity analysis
- A Bayesian risk approach to data-driven stochastic optimization: formulations and asymptotics
- Optimal engineering design by means of stochastic optimization methods
- scientific article; zbMATH DE number 2107841 (Why is no real title available?)
- Stochastic optimization and risk problems
- First- and second-order optimality conditions in optimistic bilevel set-valued programming
- Technical note: Sochastic optimization with decisions truncated by positively dependent random variables
- Variational theory for optimization under stochastic ambiguity
- Optimization under uncertainty via random sampling of scenarios. II
- Sharing in construction projects -- on determining optimal container assignments for the on-site accommodation of trades
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Necessary optimality conditions for bilevel set optimization problems
- Stability analysis for stochastic optimization problems
- Robust solution of monotone stochastic linear complementarity problems
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