Simulation and Optimization Proceedings of the International Workshop on Computationally Intensive Methods in Simulation and Optimization held at the International Institute for Applied Systems Analysis (IIASA), Laxenburg, Austria, August 23–25, 1990

This volume contains selected papers presented at the "International Workshop on Computationally Intensive Methods in Simulation and Op­ th th timization" held from 23 to 25 August 1990 at the International Institute for Applied Systems Analysis (nASA) in La~enburg, Austria. The purpose of...

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Bibliographic Details
Other Authors: Pflug, Georg (Editor), Dieter, Ulrich (Editor)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 1992, 1992
Edition:1st ed. 1992
Series:Lecture Notes in Economics and Mathematical Systems
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
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250 |a 1st ed. 1992 
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505 0 |a I: Optimization of Simulated Systems -- Performance evaluation for the score function method in sensitivity analysis and stochastic optimization -- Experimental results for gradient estimation and optimization of a markov chain in steady-staten -- Optimization of stochastic discrete event dynamic systems -- Sensitivity analysis of simulation experiments: Regression analysis and statistical design -- II: Optimization and Stochastic Optimization -- A stochastic optimization approach for training the parameters in neural networks -- Integrated stochastic approximation program system -- Lexicographic duality in linear optimization -- Dual optimization of dynamic systems -- Stochastic approximation via averaging: The Polyak’s approach revisited -- III: Random Numbers -- Nonuniform random numbers: A sensitivity analysis for transformation methods -- Nonlinear methods for pseudorandom number and vector generation -- Sampling from discrete and continuous distributions with c-rand 
653 |a Operations research 
653 |a Calculus of Variations and Optimization 
653 |a Control theory 
653 |a Systems Theory, Control 
653 |a System theory 
653 |a Quantitative Economics 
653 |a Econometrics 
653 |a Mathematical optimization 
653 |a Operations Research and Decision Theory 
653 |a Calculus of variations 
700 1 |a Dieter, Ulrich  |e [editor] 
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520 |a This volume contains selected papers presented at the "International Workshop on Computationally Intensive Methods in Simulation and Op­ th th timization" held from 23 to 25 August 1990 at the International Institute for Applied Systems Analysis (nASA) in La~enburg, Austria. The purpose of this workshop was to evaluate and to compare recently developed methods dealing with optimization in uncertain environments. It is one of the nASA's activities to study optimal decisions for uncertain systems and to make the result usable in economic, financial, ecological and resource planning. Over 40 participants from 12 different countries contributed to the success of the workshop, 12 papers were selected for this volume. Prof. A. Kurzhanskii Chairman of the Systems and Decision Sciences Program nASA Preface Optimization in an random environment has become an important branch of Applied Mathematics and Operations Research. It deals with optimal de­ cisions when only incomplete information of t.he future is available. Consider the following example: you have to make the decision about the amount of production although the future demand is unknown. If the size of the de­ mand can be described by a probability distribution, the problem is called a stochastic optimization problem