Titre : | Introduction to stochastic search and optimization : estimation, simulation, and control |
Auteurs : | James C. SPALL |
Type de document : | Texte imprimé |
Editeur : | John Wiley & Sons, 2003 |
Importance matérielle : | 595 p. |
Collection : | Interscience series in discrete mathematics and optimization |
ISBN/ISSN/EAN : | 978-0-471-33052-3 |
Langues: | Anglais |
Index. décimale : | 131.99 |
Mots-clés : |
[Classement] FINANCE D'ENTREPRISE [Aciège 2017] MATHEMATIQUES FINANCIERES |
Résumé : | Contents : - Stochastic search and optimization : motivation and supporting results - Direct methods for stochastic search - Recursive estimation for linear models - Stochastic approximation for nonlinear root-finding - Stochastic gradient form of stochastic approximation - Stochastic approximation and the finite-difference method - Simultaneous perturbation stochastic approximation - Annealing-type algorithms - Evolutionary computation I : genetic algorithms - Evolutionary computation II : general methods and theory - Reinforcement learning via temporal differences - Statistical methods for optimization in discrete problems - Model selection and statistical information - Simulation-based optimization I : regeneration, common random numbers, and selection methods - Simulation-based optimization II : stochastic gradient and sample path methods - Markov chain Monte Carlo - Optimal design for experimental inputs |