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Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
Kurt Marti
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Description for Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs
Paperback. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 197 pages, 1 black & white illustrations, biography. BIC Classification: GPFC; KCA; KJT; PBKQ; TBJ. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 244 x 170 x 11. Weight in Grams: 354.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
1988
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
197
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
183
Place of Publication
Berlin, Germany
ISBN
9783540187783
SKU
V9783540187783
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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