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Stochastic optimization (SO) are optimization methods that generate and use random variables. For stochastic optimization problems, the objective functions or ...
A stochastic program is an optimization problem in which some or all problem parameters are uncertain, but follow known probability distributions. [1] [2] This framework contrasts with deterministic optimization, in which all problem parameters are assumed to be known exactly. The goal of stochastic programming is to find a decision which both ...
Stochastic approximation methods are a family of iterative methods typically used for root-finding problems or for optimization problems. The recursive update rules of stochastic approximation methods can be used, among other things, for solving linear systems when the collected data is corrupted by noise, or for approximating extreme values of functions which cannot be computed directly, but ...
Simultaneous perturbation stochastic approximation (SPSA) is an algorithmic method for optimizing systems with multiple unknown parameters. It is a type of stochastic approximation algorithm. As an optimization method, it is appropriately suited to large-scale population models, adaptive modeling, simulation optimization, and atmospheric modeling.
Similar techniques can change from a discrete, stochastic description to a deterministic, continuum description in a time-and space dependent manner. [21] The use of this technique enables the capturing of noise due to small copy numbers, while being much faster to simulate than the conventional Gillespie algorithm.
Simulation-based optimization (also known as simply simulation optimization) integrates optimization techniques into simulation modeling and analysis. Because of the complexity of the simulation, the objective function may become difficult and expensive to evaluate. Usually, the underlying simulation model is stochastic, so that the objective ...
Linear programming (LP), also called linear optimization, is a method to achieve the best outcome (such as maximum profit or lowest cost) in a mathematical model whose requirements and objective are represented by linear relationships.
In numerical analysis, stochastic tunneling (STUN) is an approach to global optimization based on the Monte Carlo method-sampling of the function to be objective minimized in which the function is nonlinearly transformed to allow for easier tunneling among regions containing function minima. Easier tunneling allows for faster exploration of ...