Abstract
We cover
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• global optimization over the unit cube
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• dynamic programming over the unit cube
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• stochastic programming.
Even in the setting of QMC, our treatment of global optimization is unconventional. There is no imbedded integration problem, but a preliminary view of the optimand’s “landscape” is obtained by evaluating it at the points of a (t, m, s)-net. The point of the respective sections corresponding to the last two topics above is to structure those problems for QMC; there, we use QMC to deal with imbedded integration problems.
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© 1999 Springer Science+Business Media New York
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Hillier, F.S., Fox, B.L. (1999). Optimization. In: Strategies for Quasi-Monte Carlo. International Series in Operations Research & Management Science, vol 22. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5221-5_13
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DOI: https://doi.org/10.1007/978-1-4615-5221-5_13
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7379-7
Online ISBN: 978-1-4615-5221-5
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