Value at risk for confidence level quantifications in robust engineering optimization
نویسندگان
چکیده
منابع مشابه
Value at Risk for Confidence Level Quantifications in Robust Engineering
We show how to introduce the Value at Risk (VaR) concept in optimization algorithms with emphasis in calculation complexity issues. To do so we assume known the PDF of the uncertainties. Our aim is to quantify our confidence on the optimal solution at low complexity without a sampling of the control space. The notion of over-solving appears naturally where it becomes useless to solve accurately...
متن کاملValue at Risk for confidence level quantifications in robust engineering optimization
We show how to introduce the Value at Risk (VaR) concept in optimization algorithms with emphasis in calculation complexity issues. To do so we assume known the PDF of the uncertainties. Our aim is to quantify our confidence on the optimal solution at low complexity without a sampling of the control space. The notion of over-solving appears naturally where it becomes useless to solve accurately...
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ژورنال
عنوان ژورنال: Optimal Control Applications and Methods
سال: 2013
ISSN: 0143-2087
DOI: 10.1002/oca.2061