Stochastic Optimization Methods: Applications in Engineering and Operations Research by Kurt MartiStochastic Optimization Methods: Applications in Engineering and Operations Research by Kurt Marti

Stochastic Optimization Methods: Applications in Engineering and Operations Research

byKurt Marti

Hardcover | March 23, 2015

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This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where 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 probabilities and expectations involved, the book also shows how to apply approximative solution techniques. 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 and differentiation formulas for probabilities and expectations.

In the third edition, this book further develops stochastic optimization methods. In particular, it now shows how to apply stochastic optimization methods to the approximate solution of important concrete problems arising in engineering, economics and operations research.

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...
Title:Stochastic Optimization Methods: Applications in Engineering and Operations ResearchFormat:HardcoverDimensions:368 pagesPublished:March 23, 2015Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3662462133

ISBN - 13:9783662462133


Table of Contents

Stochastic Optimization Methods.- Optimal Control Under Stochastic Uncertainty.- Stochastic Optimal Open-Loop Feedback Control.- Adaptive Optimal Stochastic Trajectory Planning and Control (AOSTPC).- Optimal Design of Regulators.- Expected Total Cost Minimum Design of Plane Frames.- Stochastic Structural Optimization with Quadratic Loss Functions.- Maximum Entropy Techniques.

Editorial Reviews

"The considered book presents a mathematical analysis of the stochastic models of important applied optimization problems. . presents detailed methods to solve these problems, rigorously proves their properties, and uses examples to illustrate the proposed methods. This book would be particularly beneficial to mathematicians working in the field of stochastic control and mechanical design." (Antanas Zilinskas, Interfaces, Vol. 45 (6), 2015)