Transcription of Lecture 1 Stochastic Optimization: Introduction
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Lecture 1 Stochastic Optimization: Introduction
Lecture 1 Stochastic Optimization: IntroductionJanuary 8, 2018 Uday V. ShanbhagLecture 1 Optimization Concerned with mininmization/maximization of mathematical functions Often subject to constraints Euler (1707-1783):Nothing at all takes place in the universe in whichsome rule of the maximum or minimum does not apply. Important tool in the analysis/design/control/simulation of physical,economic, chemical and biological systems Model apply algorithm check solutionStochastic Optimization1 Uday V. ShanbhagLecture 1 Unconstrained optimizationUnconstrainedminimizex Rnf(x) Xis defined asX,Rn Examples:f(x) =x3 3x2.
Stochastic optimization captures a broad class of problems, including convex, nonconvex (time permitting), and discrete optimization problems (not considered here).
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