Sökning: "stochastic optimization"

Visar resultat 1 - 5 av 171 avhandlingar innehållade orden stochastic optimization.

1. 1. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

   Författare :Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

   Sammanfattning : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. LÄS MER

3. 2. Convergence and stability analysis of stochastic optimization algorithms

   Författare :Måns Williamson; Matematik LTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; numerical analysis; optimization; stochastic optimization; machine learning;

   Sammanfattning : This thesis is concerned with stochastic optimization methods. The pioneering work in the field is the article “A stochastic approximation algorithm” by Robbins and Monro [1], in which they proposed the stochastic gradient descent; a stochastic version of the classical gradient descent algorithm. LÄS MER

4. 3. Dynamic Resampling for Preference-based Evolutionary Multi-objective Optimization of Stochastic Systems : Improving the efficiency of time-constrained optimization

   Författare :Florian Siegmund; Kalyanmoy Deb; Amos H.C. Ng; Sanaz Mostaghim; Högskolan i Skövde; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Evolutionary multi-objective optimization; simulation-based optimization; guided search; preference-based optimization; reference point; decision support; noise; stochastic systems; dynamic resampling; budget allocation; sequential sampling; hybrid; ranking and selection; Natural sciences; Naturvetenskap; Technology; Teknik; Production and Automation Engineering; Produktion och automatiseringsteknik;

   Sammanfattning : In preference-based Evolutionary Multi-objective Optimization (EMO), the decision maker is looking for a diverse, but locally focused non-dominated front in a preferred area of the objective space, as close as possible to the true Pareto-front. Since solutions found outside the area of interest are considered less important or even irrelevant, the optimization can focus its efforts on the preferred area and find the solutions that the decision maker is looking for more quickly, i. LÄS MER

5. 4. Portfolio Optimization and Statistics in Stochastic Volatility Markets

   Författare :Carl Lindberg; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

   Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER

7. 5. Toward Robust Optimization of Adaptive Radiation Therapy

   Författare :Michelle Böck; Anders Forsgren; Minsun Kim; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimization; adaptive radiation therapy; radiation therapy treatment planning; uncertainty; robust optimization; stochastic programming; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : Adaptive radiation therapy is an evolving cancer treatment approach which relies on adapting the treatment plan in response to patient-specific interfractional geometric variations occurring during the fractionated treatment. If those variations are not addressed through adaptive replanning, the resulting treatment quality may be compromised. LÄS MER