Efficient sample sizes in stochastic nonlinear programming
نویسندگان
چکیده
منابع مشابه
An efficient algorithm for large scale stochastic nonlinear programming problems
The class of stochastic nonlinear programming (SNLP) problems is important in optimization due to the presence of nonlinearity and uncertainty in many applications, including those in the field of process systems engineering. But despite the apparent importance of such problems, the solution algorithms for these problems have found few applications due to the severe computational and structural...
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A central challenge in the analysis of genetic variation is to provide realistic genome simulation across millions of samples. Present day coalescent simulations do not scale well, or use approximations that fail to capture important long-range linkage properties. Analysing the results of simulations also presents a substantial challenge, as current methods to store genealogies consume a great ...
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The amount of wheat and corn produced in excess will be sold at prices of $ 170 per ton for wheat and $ 150 per ton for corn. For sugar beets there is a quota on production which is 6000 T for the farmer. Any amount of sugar beets up to the quota can be sold at $ 36 per ton, the amount in excess of the quota is limited to $ 10 per ton. We denote by w1 and w2 the amount in tons of wheat resp. co...
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The class of stochastic nonlinear programming (SNLP) problems is important in optimization due to the presence of nonlinearity and uncertainty in many applications including those in the field of process systems engineering. But despite the apparent importance of such problems, solution algorithms for these problems have found few applications due to severe computational and structural restrict...
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In this paper, we propose a class of penalty methods with stochastic approximation for solving stochastic nonlinear programming problems. We assume that only noisy gradients or function values of the objective function are available via calls to a stochastic first-order or zeroth-order oracle. In each iteration of the proposed methods, we minimize an exact penalty function which is nonsmooth an...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.02.014