Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs - Marti, Kurt
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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…mehr

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Produktbeschreibung
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 difficulty is that the objective function F and its derivatives are defined by multiple integrals. Hence, one wants to omit, as much as possible, the time-consuming computation of derivatives of F. Using the special structure of the problem, the mathematical foundations and several concrete methods for the computationof feasible descent directions, in a certain part of the feasible domain, are presented first, without any derivatives of the objective function F. It can also be used to support other methods for solving discretely distributed stochastic programs, especially large scale linear programming and stochastic approximation methods.
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Autorenporträt
Kurt Marti, geb. 1921 in Bern, Studium der Jura, dann Theologie in Bern und Basel. Bis 1983 tätig als Pfarrer, u. a. an der Nydeggkirche in Bern. Er ist Ehrendoktor der theologischen Fakultät Bern, Mitbegründer der Schriftsteller-Gruppe Olten und der Erklärung von Bern. Zahlreiche Veröffentlichungen: Erzählungen, einen Roman, Gedichte, Tagebücher, Essays. Auszeichnungen: 1997 Kurt-Tucholsky-Preis für sein Gesamtwerk, 2002 Karl-Barth-Preis für sein'"theopoetisches' Werk.