Details

Autor(en) / Beteiligte

• SCHÄFFLER, S
• SCHULTZ, R
• WEINZIERL, K

Titel

Stochastic method for the solution of unconstrained vector optimization problems

Ist Teil von

• Journal of optimization theory and applications, 2002-07, Vol.114 (1), p.209-222

Ort / Verlag

New York, NY: Springer

Erscheinungsjahr

2002

Quelle

SpringerLINK Contemporary (Konsortium Baden-Württemberg)

Beschreibungen/Notizen

• We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given.