Stochastic Method for the Solution of Unconstrained Vector Optimization Problems

S. Schäffler, R. Schultz and K. Weinzierl
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S. Schäffler: Universität der Bundeswehr, EIT 1
R. Schultz: Siemens AG
K. Weinzierl: Siemens AG

Journal of Optimization Theory and Applications, 2002, vol. 114, issue 1, No 9, 209-222

Abstract: Abstract 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.

Keywords: vector optimization problems; curves of dominated points; Brownian motion; stochastic differential equations (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (9)

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DOI: 10.1023/A:1015472306888

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