Stochastic and Global Optimization

by Dzemyda, Gintautas; Saltenis, Vydunas; Zhilinskas, A.

• ISBN13: 9781402004841
• ISBN10: 1402004842
• Format: Hardcover
• Copyright: 2002-03-01
• Publisher: Kluwer Academic Pub

Summary

This book is dedicated to the 70th birthday of Professor J. Mockus, whose scientific interests include theory and applications of global and discrete optimization, and stochastic programming. The papers for the book were selected because they relate to these topics and also satisfy the criterion of theoretical soundness combined with practical applicability. In addition, the methods for statistical analysis of extremal problems are covered. Although statistical approach to global and discrete optimization is emphasized, applications to optimal design and to mathematical finance are also presented. The results of some subjects (e.g., statistical models based on one-dimensional global optimization) are summarized and the prospects for new developments are justified. Audience: Practitioners, graduate students in mathematics, statistics, computer science and engineering.

Table of Contents

The Jubilee of Prof. Dr. Habil. Jonas Mockus
Topographical Differential Evolution Using Pre-calculated Differentials	p. 1
Optimal Tax Depreciation in Stochastic Investment Model	p. 19
Global Optimisation of Chemical Process Flowsheets	p. 33
One-dimensional Global Optimization Based on Statistical Models	p. 49
Animated Visual Analysis of Extremal Problems	p. 65
Test Problems for Lipschitz Univariate Global Optimization with Multiextremal Constraints	p. 93
Numerical Techniques in Applied Multistage Stochastic Programming	p. 111
On the Efficiency and Effectiveness of Controlled Random Search	p. 129
Discrete Backtracking Adaptive Search for Global Optimization	p. 147
Parallel Branch-and-bound Attraction Based Methods for Global Optimization	p. 175
On Solution of Stochastic Linear Programs by Discretization Methods	p. 189
The Structure of Multivariate Models and the Range of Definition	p. 209
Optimality Criteria for Investment Projects Under Uncertainty	p. 221
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