Accession Number : ADA261487


Title :   Methods of Optimization under Uncertainty


Descriptive Note : Final technical rept. 1 Nov 1988-31 Oct 1992


Corporate Author : WASHINGTON UNIV SEATTLE DEPT OF MATHEMATICS


Personal Author(s) : Rockafellar, R T


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a261487.pdf


Report Date : 29 Dec 1992


Pagination or Media Count : 14


Abstract : Research under this grant has focused on large-scale optimization methodology connected with the solution of problems in which decisions must be made in the face of uncertainty: stochastic programming problems. The principal techniques developed for modeling such problems have been used, including various new kinds of decomposition into small-scale optimization problems in extended linear-quadratic programming. Extended linear-quadratic programming goes beyond ordinary linear and quadratic programming in allowing for objective functions to incorporate penalty terms and other features that create piecewise linear or quadratic formulas. The new decomposition techniques include primal-dual Lagrangian decomposition and forward-backward splitting. In total, the 4-year grant supported the writing of 16 technical papers (12 already in print or about to be), the development and documentation of 2 computer codes, and the completion of 3 doctoral dissertations.


Descriptors :   *UNCERTAINTY , *OPTIMIZATION , *STOCHASTIC PROCESSES , *DECISION MAKING , *LINEAR PROGRAMMING , *QUADRATIC PROGRAMMING , METHODOLOGY , PROBLEM SOLVING , DECOMPOSITION , GRANTS , COMPUTER PROGRAMMING


Subject Categories : Statistics and Probability
      Operations Research
      Computer Programming and Software


Distribution Statement : APPROVED FOR PUBLIC RELEASE