Perturbation Analysis of Optimization Problems

ISBN-13: 9781461271291 / Angielski / Miękka / 2013 / 601 str.

J. Frederic Bonnans; Alexander Shapiro

Opis

A presentation of general results for discussing local optimality and computation of the expansion of value function and approximate solution of optimization problems, followed by their application to various fields, from physics to economics. The book is thus an opportunity for popularizing these techniques among researchers involved in other sciences, including users of optimization in a wide sense, in mechanics, physics, statistics, finance and economics. Of use to research professionals, including graduate students at an advanced level.

Spis treści

Basic notation.- Introduction.- Background material.- Optimality conditions.- Basic perturbation theory.- Second order analysis of the optimal value and optimal solutions.- Optimal Control.- References.