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Discretely Distributed Stochastic Programs: Descent Directions and Efficient Points

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Encyclopedia of Optimization

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Keywords

Introduction

  Discretely Distributed Stochastic Programs

Example: Scenario Analysis

A System of Linear Relations for the Construction of Descent Directions

Efficient Solutions of (1), (2)

  Comparison of Definitions 7 and 3

  Further Characterization of E D, J

  Necessary Optimality Conditions Without Using (Sub)Gradients

Parametric Representation of E D, J

See also

References

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References

  1. Carroll JM (ed) (1995) Scenario-based design. WileyNew York , New York

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  2. Chandler J, Cockle P (1982) Techniques of scenario planning. McGraw-Hill, New York

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  3. Marti K (1988) Descent directions and efficient solutions in discretely distributed stochastic programs. Lecture Notes Economics and Math Systems, vol 299. Springer, Berlin

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  4. Marti K (1992) Computation of efficient solutions of discretely distributed stochastic optimization problems. ZOR 36:259–294

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  5. Marti K (1996) Stochastic optimization methodsin engineering. In: Dolezal J, Fidler J (eds) System Modelling and Optimization. Chapman and Hall, London, pp 75–87

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  6. Reibnitz Uvon (1988) Scenario techniques. McGraw-Hill, New York

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  7. Steinsiek E, Knauer P (1981) Szenarien als Instrument der Umweltplanung. Angewandte Systemanalyse 2:10–19

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Author information

Authors and Affiliations

  1. Federal Armed Forces, University Munich, Neubiberg, Germany

    Kurt Marti

Authors
  1. Kurt Marti
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Editor information

Editors and Affiliations

  1. Department of Chemical Engineering, Princeton University, Princeton, NJ, 08544-5263, USA

    Christodoulos A. Floudas

  2. Center for Applied Optimization, Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL, 32611-6595, USA

    Panos M. Pardalos

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© 2008 Springer-Verlag

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Marti, K. (2008). Discretely Distributed Stochastic Programs: Descent Directions and Efficient Points . In: Floudas, C., Pardalos, P. (eds) Encyclopedia of Optimization. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-74759-0_131

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