Adaptive Stochastic Methods

Author : Dmitry G. Arseniev,Vladimir M. Ivanov,Maxim L. Korenevsky
Publisher : Walter de Gruyter GmbH & Co KG
Page : 290 pages
File Size : 53,7 Mb
Release : 2018-01-09
Category : Mathematics
ISBN : 9783110554632

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Adaptive Stochastic Methods by Dmitry G. Arseniev,Vladimir M. Ivanov,Maxim L. Korenevsky Pdf

This monograph develops adaptive stochastic methods in computational mathematics. The authors discuss the basic ideas of the algorithms and ways to analyze their properties and efficiency. Methods of evaluation of multidimensional integrals and solutions of integral equations are illustrated by multiple examples from mechanics, theory of elasticity, heat conduction and fluid dynamics. Contents Part I: Evaluation of Integrals Fundamentals of the Monte Carlo Method to Evaluate Definite Integrals Sequential Monte Carlo Method and Adaptive Integration Methods of Adaptive Integration Based on Piecewise Approximation Methods of Adaptive Integration Based on Global Approximation Numerical Experiments Adaptive Importance Sampling Method Based on Piecewise Constant Approximation Part II: Solution of Integral Equations Semi-Statistical Method of Solving Integral Equations Numerically Problem of Vibration Conductivity Problem on Ideal-Fluid Flow Around an Airfoil First Basic Problem of Elasticity Theory Second Basic Problem of Elasticity Theory Projectional and Statistical Method of Solving Integral Equations Numerically

Author : Dmitriĭ Germanovich Arsenʹev,Vladimir Mikhaĭlovich Ivanov,Vladimir M. Ivanov,Maksim Lʹvovich Korenevskiĭ
Publisher : de Gruyter
Page : 0 pages
File Size : 54,6 Mb
Release : 2018
Category : Mathematics
ISBN : 3110553643

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Adaptive Stochastic Methods by Dmitriĭ Germanovich Arsenʹev,Vladimir Mikhaĭlovich Ivanov,Vladimir M. Ivanov,Maksim Lʹvovich Korenevskiĭ Pdf

"This monograph is devoted to developing adaptive stochastic methods of computational mathematics with the use of adaptively controlled computational procedures. We consider the base ideas of the algorithms, ways to synthesise them, and analyse their properties and efficiency while evaluating multidimensional integrals and solving integral equations of the theory of elasticity and the theory of heat conduction. The key feature of the approaches and results presented in this book consists of a comprehensive analysis of mechanisms of utilisation of adaptive control in statistical evaluation procedures, which makes them converge much faster. This book is intended for all students of numerical methods, mathematical statistics, and methods of statistical simulation, as well as for specialists in the fields of computational mathematics and mechanics"--Page v.

Author : Z.B. Zabinsky
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 40,6 Mb
Release : 2013-11-27
Category : Mathematics
ISBN : 9781441991829

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Stochastic Adaptive Search for Global Optimization by Z.B. Zabinsky Pdf

The field of global optimization has been developing at a rapid pace. There is a journal devoted to the topic, as well as many publications and notable books discussing various aspects of global optimization. This book is intended to complement these other publications with a focus on stochastic methods for global optimization. Stochastic methods, such as simulated annealing and genetic algo rithms, are gaining in popularity among practitioners and engineers be they are relatively easy to program on a computer and may be cause applied to a broad class of global optimization problems. However, the theoretical performance of these stochastic methods is not well under stood. In this book, an attempt is made to describe the theoretical prop erties of several stochastic adaptive search methods. Such a theoretical understanding may allow us to better predict algorithm performance and ultimately design new and improved algorithms. This book consolidates a collection of papers on the analysis and de velopment of stochastic adaptive search. The first chapter introduces random search algorithms. Chapters 2-5 describe the theoretical anal ysis of a progression of algorithms. A main result is that the expected number of iterations for pure adaptive search is linear in dimension for a class of Lipschitz global optimization problems. Chapter 6 discusses algorithms, based on the Hit-and-Run sampling method, that have been developed to approximate the ideal performance of pure random search. The final chapter discusses several applications in engineering that use stochastic adaptive search methods.

Author : P. R. Kumar,Pravin Varaiya
Publisher : SIAM
Page : 371 pages
File Size : 40,9 Mb
Release : 2015-12-15
Category : Mathematics
ISBN : 9781611974263

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Stochastic Systems by P. R. Kumar,Pravin Varaiya Pdf

Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.?

Author : James A. Momoh
Publisher : CRC Press
Page : 0 pages
File Size : 45,5 Mb
Release : 2015-12-09
Category : Business & Economics
ISBN : 1439829780

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Adaptive Stochastic Optimization Techniques with Applications by James A. Momoh Pdf

This book presents new trends in optimization methods that can be used to handle the stochastic, predictive nature of large-scale system problems in power and energy. The author provides decision tools and techniques for heuristic optimization and adaptive dynamic programming. He also reviews the latest research in optimization techniques derived from static optimization, decision support tools, and heuristic and adaptive dynamic programming for handling problems with stochastic, predictive, and adaptive behavior. In addition to easy-to-follow algorithms and illustrative engineering examples, the author also includes benchmark problems from power systems using state-of-the-art optimization.

Author : James A. Momoh
Publisher : CRC Press
Page : 443 pages
File Size : 54,8 Mb
Release : 2015-12-02
Category : Business & Economics
ISBN : 9781439829790

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Adaptive Stochastic Optimization Techniques with Applications by James A. Momoh Pdf

Adaptive Stochastic Optimization Techniques with Applications provides a single, convenient source for state-of-the-art information on optimization techniques used to solve problems with adaptive, dynamic, and stochastic features. Presenting modern advances in static and dynamic optimization, decision analysis, intelligent systems, evolutionary pro

Author : Waclaw Kasprzak,Aleksander Weron
Publisher : World Scientific
Page : 490 pages
File Size : 42,6 Mb
Release : 1990-08-23
Category : Electronic
ISBN : 9789814611947

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Stochastic Methods In Experimental Sciences by Waclaw Kasprzak,Aleksander Weron Pdf

This volume, containing selected papers presented during the COSMEX '89 meeting, provides readers with integrative and innovative articles on many aspects on many aspects of stochastic methods and their applications to experimental sciences. Offering an interdisciplinary presentation on the uses of stochastic methods, this publication discusses the practical applications of stochastic methods to such diverse areas as biology, chemistry, physics, mechanics and engineering. It also discusses computer implementation of theoretically derived algorithms especially for experimental designs.

Author : Albert Benveniste,Michel Metivier,Pierre Priouret
Publisher : Springer Science & Business Media
Page : 373 pages
File Size : 46,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642758942

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Adaptive Algorithms and Stochastic Approximations by Albert Benveniste,Michel Metivier,Pierre Priouret Pdf

Adaptive systems are widely encountered in many applications ranging through adaptive filtering and more generally adaptive signal processing, systems identification and adaptive control, to pattern recognition and machine intelligence: adaptation is now recognised as keystone of "intelligence" within computerised systems. These diverse areas echo the classes of models which conveniently describe each corresponding system. Thus although there can hardly be a "general theory of adaptive systems" encompassing both the modelling task and the design of the adaptation procedure, nevertheless, these diverse issues have a major common component: namely the use of adaptive algorithms, also known as stochastic approximations in the mathematical statistics literature, that is to say the adaptation procedure (once all modelling problems have been resolved). The juxtaposition of these two expressions in the title reflects the ambition of the authors to produce a reference work, both for engineers who use these adaptive algorithms and for probabilists or statisticians who would like to study stochastic approximations in terms of problems arising from real applications. Hence the book is organised in two parts, the first one user-oriented, and the second providing the mathematical foundations to support the practice described in the first part. The book covers the topcis of convergence, convergence rate, permanent adaptation and tracking, change detection, and is illustrated by various realistic applications originating from these areas of applications.

Author : Alexis Aloneftis
Publisher : Springer
Page : 144 pages
File Size : 40,7 Mb
Release : 1987
Category : Language Arts & Disciplines
ISBN : UCAL:B4364612

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Stochastic Adaptive Control Results and Simulations by Alexis Aloneftis Pdf

The theme of this monograph is the adaptive control of systems in a stochastic environment and, more precisely, the study of the tracking problem for ARMAX SISO stochastic systems with time invariant and time varying parameters. Results of simultaneous tracking and parameter identification are included. The author has aimed to (1) provide a reasonably self-contained and up-to-date exposition of the tracking problem after having properly placed it amongst numerous ideas, approaches, and subproblems related to adaptive control, (2) display computer simulation results and discuss their comparative behaviour, (3) introduce a new approach to the stochastic adaptive control with promising results, and (4) qualitatively discuss the adaptive control problem in the hope of improving our understanding of it, stimulate the informed reader to come up with new ideas, and attract newcomers to its study. The reader is assumed to have studied control systems at the graduate level and to have a reasonably good grasp of basic probability theory. Apart from its educational value to the adaptive control student, it is hoped that the accumulation of scattered results and their computer simulation, as well as an extensive reference section will attract the active researcher in this field.

Author : Andrew Lyasoff
Publisher : MIT Press
Page : 632 pages
File Size : 54,6 Mb
Release : 2017-08-25
Category : Business & Economics
ISBN : 9780262036559

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Stochastic Methods in Asset Pricing by Andrew Lyasoff Pdf

A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications. This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields. The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.

Author : Bettina Schieche
Publisher : Unknown
Page : 0 pages
File Size : 55,8 Mb
Release : 2012
Category : Electronic
ISBN : 3843907625

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Unsteady Adaptive Stochastic Collocation Methods on Sparse Grids by Bettina Schieche Pdf

Author : Sergio Fajardo,H. Jerome Keisler
Publisher : Cambridge University Press
Page : 136 pages
File Size : 53,9 Mb
Release : 2017-03-30
Category : Mathematics
ISBN : 9781108619264

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Model Theory of Stochastic Processes by Sergio Fajardo,H. Jerome Keisler Pdf

Since their inception, the Perspectives in Logic and Lecture Notes in Logic series have published seminal works by leading logicians. Many of the original books in the series have been unavailable for years, but they are now in print once again. In this volume, the fourteenth publication in the Lecture Notes in Logic series, Fajardo and Keisler present new research combining probability theory and mathematical logic. It is a general study of stochastic processes using ideas from model theory, a key central theme being the question, 'When are two stochastic processes alike?' The authors assume some background in nonstandard analysis, but prior knowledge of model theory and advanced logic is not necessary. This volume will appeal to mathematicians willing to explore new developments with an open mind.

Author : CIME-EMS Summer School,Professor of Finance and Howard J Creekmore Profe Kerry Back,Tomasz R. Bielecki,CIME-EMS School on Stochastic Methods,Christian Hipp,Shige Peng,Walter Schachermayer
Publisher : Springer Science & Business Media
Page : 328 pages
File Size : 51,5 Mb
Release : 2004
Category : Finance
ISBN : 3540229531

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Stochastic Methods in Finance by CIME-EMS Summer School,Professor of Finance and Howard J Creekmore Profe Kerry Back,Tomasz R. Bielecki,CIME-EMS School on Stochastic Methods,Christian Hipp,Shige Peng,Walter Schachermayer Pdf

Author : L Gerencser,P E Caines
Publisher : Springer
Page : 412 pages
File Size : 50,5 Mb
Release : 2014-01-15
Category : Electronic
ISBN : 3662165244

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Topics in Stochastic Systems by L Gerencser,P E Caines Pdf

Author : T. E. Duncan
Publisher : Springer
Page : 584 pages
File Size : 40,6 Mb
Release : 1992
Category : Mathematics
ISBN : UCSD:31822015017809

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Stochastic Theory and Adaptive Control by T. E. Duncan Pdf

This workshop on stochastic theory and adaptive control assembled many of the leading researchers on stochastic control and stochastic adaptive control to increase scientific exchange and cooperative research between these two subfields of stochastic analysis. The papers included in the proceedings include survey and research. They describe both theoretical results and applications of adaptive control. There are theoretical results in identification, filtering, control, adaptive control and various other related topics. Some applications to manufacturing systems, queues, networks, medicine and other topics are gien.