Stochastic Method for the Solution of Unconstrained Vector Optimization Problems
| Autor: | S. Schäffler, Klaus Weinzierl, Reinhart Schultz |
|---|---|
| Rok vydání: | 2002 |
| Předmět: |
Mathematical optimization
Control and Optimization Differential equation Applied Mathematics MathematicsofComputing_NUMERICALANALYSIS Management Science and Operations Research Stochastic programming Stochastic partial differential equation symbols.namesake Stochastic differential equation Vector optimization Theory of computation Runge–Kutta method symbols Stochastic optimization Mathematics |
| Zdroj: | Journal of Optimization Theory and Applications. 114:209-222 |
| ISSN: | 1573-2878 0022-3239 |
| DOI: | 10.1023/a:1015472306888 |
| Popis: | We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full text from SpringerLink