Stochastic Optimization Methods

I. Basic Stochastic Optimization Methods

1. Decision/Control Under Stochastic Uncertainty

2. Deterministic Substitute Problems in Optimal Decision Under Stochastic Uncertainty

II. Differentiation Methods

3. Differentiation Methods for Probability and Risk Functions

III. Deterministic Descent Directions

4. Deterministic Descent Directions and Efficient Points

IV. Semi-Stochastic Approximation Methods

5. RSM-Based Stochastic Gradient Procedures

6. Stochastic Approximation Methods with Changing Error Variances

V. Reliability Analysis of Structures/Systems

7. Computation of Probabilities of Survival/Failure by Means of Piecewise Linearization of the State Function

DRM-restrictions

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000