Stochastic Optimization of Complex Systems

[摘要] This project focused on methodologies for the solution of stochastic optimization problems based on relaxation and penalty methods, Monte Carlo simulation, parallel processing, and inverse optimization. The main results of the project were the development of a convergent method for the solution of models that include expectation constraints as in equilibrium models, improvement of Monte Carlo convergence through the use of a new method of sample batch optimization, the development of new parallel processing methods for stochastic unit commitment models, and the development of improved methods in combination with parallel processing for incorporating automatic differentiation methods into optimization.

[发布日期] 2014-03-20

[学科分类] 数学（综合）

[关键词] optimization;stochastic methods;complex systems