1 Search Results for "Onischenko, Boris."

Minorant methods for stochastic global optimization

Authors: Vladimir Norkin and Boris. Onischenko

Published in: Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005)

We develop numerical methods for solution of stochastic global optimization problems: min$[F(x)=Ef(x,¦Ø)| xin X]$ and $min[F(x)=P{f(x, ¦Ø) ¡Ü0} | xin X]$, where x is a finite dimensional decision vector with possible values in the set X, ¦Ø is a random variable, $f(x,¦Ø)$ is a nonlinear function of variable x, E and P denote mathematical expectation and probability signs respectively. These methods are based on the concept of stochastic tangent minorant, which is a random function $¦Õ(x,y, ¦Ø)$ of two variables x and y with expected value $¦µ(x,y)=E ¦Õ(x,y, ¦Ø)$ satisfying conditions: (i) $¦µ(x,x)=F(x)$, (ii) $¦µ(x,y) ¡ÜF(x)$ for all x,y. Tangent minorant is a source of information on a function global behavior. We develop a calculus of (stochastic) tangent minorants. We develop a stochastic analogue of Pijavski¡¯s global optimization method and a branch and bound method with stochastic minorant bounds. Applications to optimal facility location and network reliability optimization are discussed.

Cite as

Vladimir Norkin and Boris. Onischenko. Minorant methods for stochastic global optimization. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-9, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)

Copy BibTex To Clipboard

  author =	{Norkin, Vladimir and Onischenko, Boris.},
  title =	{{Minorant methods for stochastic global optimization}},
  booktitle =	{Algorithms for Optimization with Incomplete Information},
  pages =	{1--9},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{5031},
  editor =	{Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.14},
  URN =		{urn:nbn:de:0030-drops-2115},
  doi =		{10.4230/DagSemProc.05031.14},
  annote =	{Keywords: Stochastic global optimization, stochastic tangent minorant, branch and bound method}
  • Refine by Author
  • 1 Norkin, Vladimir
  • 1 Onischenko, Boris.

  • Refine by Classification

  • Refine by Keyword
  • 1 Stochastic global optimization
  • 1 branch and bound method
  • 1 stochastic tangent minorant

  • Refine by Type
  • 1 document

  • Refine by Publication Year
  • 1 2005

Questions / Remarks / Feedback

Feedback for Dagstuhl Publishing

Thanks for your feedback!

Feedback submitted

Could not send message

Please try again later or send an E-mail