This article is about iterative methods. For the modeling (and optimization) of decisions under uncertainty, see stochastic programming. For the context of control theory, see stochastic control.
Stochastic optimization (SO) methods are optimization methods that generate and use random variables. For stochastic problems, the random variables appear in the formulation of the optimization problem itself, which involves random objective functions or random constraints. Stochastic optimization methods also include methods with random iterates. Some stochastic optimization methods use random iterates to solve stochastic problems, combining both meanings of stochastic optimization.[1]
Stochastic optimization methods generalize deterministic methods for deterministic problems.
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Spall, J. C. (2003). Introduction to Stochastic Search and Optimization. Wiley. ISBN 978-0-471-33052-3.
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Stochasticoptimization (SO) methods are optimization methods that generate and use random variables. For stochastic problems, the random variables appear...
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form of stochasticoptimization, so that the solution found is dependent on the set of random variables generated. In combinatorial optimization, by searching...
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13 (4), pp 387-401. Perez, Meir and Marwala, Tshilidzi (2008) StochasticOptimization Approaches for Solving Sudoku arXiv:0805.0697. Lewis, R. A Guide...
Apolloni, Bruno; Carvalho, Maria C.; De Falco, Diego (1989). "Quantum stochasticoptimization". Stoc. Proc. Appl. 33 (2): 233–244. doi:10.1016/0304-4149(89)90040-9...
stochastic dynamic programming is a technique for modelling and solving problems of decision making under uncertainty. Closely related to stochastic programming...
programming equation associated with discrete-time optimization problems. In continuous-time optimization problems, the analogous equation is a partial differential...
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value of the objective function in the optimization problem being solved. The more fit individuals are stochastically selected from the current population...
In probability theory and related fields, a stochastic (/stəˈkæstɪk/) or random process is a mathematical object usually defined as a sequence of random...
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