Description: Basics of numerical optimization: problem formulation, conditions of optimality, search direction, and step length. Calculus-based techniques for univariate and multivariate optimization.
SIAM Journal on Numerical Analysis, Vol. 24, No. 1 (Feb., 1987), pp. 228-239 (12 pages) We derive here a recursive computation scheme for the rational interpolation method introduced in [7]. Explicit ...
We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...
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