APPLICATION OF STOCHASTIC APPROXIMATION IN TECHNICAL DESIGN

V. Bartkutė and L. Sakalauskas
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V. Bartkutė: Institute of Mathematics and Informatics, Akademijos st. 4, Vilnius 08663, Lithuania
L. Sakalauskas: Institute of Mathematics and Informatics, Akademijos st. 4, Vilnius 08663, Lithuania

Chapter 4 in Computer Aided Methods in Optimal Design and Operations, 2006, pp 29-38 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this paper, we consider problems related to the implementation of Stochastic Approximation (SA) in technical design, namely, estimation of a stochastic gradient, improvement of convergence, stopping criteria of the algorithm, etc. The accuracy of solution and the termination of the algorithm are considered in a statistical way. We build a method for estimation of confidence interval of the objective function extremum and stopping of the algorithm according to order statistics of objective function values provided during optimization. We give some illustration examples of application of developed approach of SA to the optimal engineering design problems, too.

Keywords: Optimization; Optimal Design; Global Optimization; Optimal Control (search for similar items in EconPapers)
Date: 2006
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