Minorant methods for stochastic global optimization
نویسندگان
چکیده
Branch and bound method and Pijavskii's method are extended for solution of global stochastic optimization problems. These extensions employ a concept of stochastic tangent minorants and majorants of the integrand function as a source of global information on the objective function. A calculus of stochastic tangent minorants is developed.
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تاریخ انتشار 2005