کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
698239 890399 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Confidence level solutions for stochastic programming
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Confidence level solutions for stochastic programming
چکیده انگلیسی

We propose an alternative approach to stochastic programming based on Monte-Carlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. We propose a solution concept in which the probability that the random algorithm produces a solution with an expected objective value departing from the optimal one by more than ϵϵ is small enough. We derive complexity bounds on the number of iterations of this process. We show that by repeating the basic process on independent samples, one can significantly reduce the number of iterations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 44, Issue 6, June 2008, Pages 1559–1568
نویسندگان
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