Stochastic approximation methods in stochastic optimization
Bobylev, Ilya (2013)
Diplomityö
Bobylev, Ilya
2013
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe201311197362
https://urn.fi/URN:NBN:fi-fe201311197362
Tiivistelmä
Stochastic approximation methods for stochastic optimization are considered. Reviewed the main methods of stochastic approximation: stochastic quasi-gradient algorithm, Kiefer-Wolfowitz algorithm and adaptive rules for them, simultaneous perturbation stochastic approximation (SPSA) algorithm. Suggested the model and the solution of the retailer's profit optimization problem and considered an application of the SQG-algorithm for the optimization problems with objective functions given in the form of ordinary differential equation.