E-Book Overview
This self-contained monograph presents a new stochastic approach to global optimization problems arising in a variety of disciplines including mathematics, operations research, engineering, and economics. The volume deals with constrained and unconstrained problems and puts a special emphasis on large scale problems. It also introduces a new unified concept for unconstrained, constrained, vector, and stochastic global optimization problems. All methods presented are illustrated by various examples. Practical numerical algorithms are given and analyzed in detail.
The topics presented include the randomized curve of steepest descent, the randomized curve of dominated points, the semi-implicit Euler method, the penalty approach, and active set strategies. The optimal decoding of block codes in digital communications is worked out as a case study and shows the potential and high practical relevance of this new approach.
Global Optimization: A Stochastic Approach is an elegant account of a refined theory, suitable for researchers and graduate students interested in global optimization and its applications.
E-Book Content
Springer Series in Operations Research and Financial Engineering Series Editors: Thomas V. Mikosch Sidney I. Resnick Stephen M. Robinson
For further volumes: http://www.springer.com/series/3182
Stefan Sch¨affler
Global Optimization A Stochastic Approach
123
Stefan Sch¨affler Universit¨at der Bundeswehr M¨unchen Fakult¨at f¨ur Elektro- und Informationstechnik, EIT1 Werner-Heisenberg-Weg 39 Neubiberg, Germany
ISSN 1431-8598 ISBN 978-1-4614-3926-4 ISBN 978-1-4614-3927-1 (eBook) DOI 10.1007/978-1-4614-3927-1 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2012939855 Mathematics Subject Classification (2010): 90C26, 90C15, 90C90, 65C30, 65D30, 60H10, 60H35, 60H40 © Springer Science+Business Media New York 2012 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
Utinam exitus acta probet
Global optimization plays an outs