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4OR
2004
63views more  4OR 2004»
15 years 3 months ago
A note on robust 0-1 optimization with uncertain cost coefficients
Abstract. Based on the recent approach of Bertsimas and Sim (2004, 2003) to robust optimization in the presence of data uncertainty, we prove an easily computable and simple bound ...
Mustafa Ç. Pinar
CORR
2000
Springer
134views Education» more  CORR 2000»
15 years 3 months ago
Learning Complexity Dimensions for a Continuous-Time Control System
This paper takes a computational learning theory approach to a problem of linear systems identification. It is assumed that inputs are generated randomly from a known class consist...
Pirkko Kuusela, Daniel Ocone, Eduardo D. Sontag
119
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SIAMJO
2000
76views more  SIAMJO 2000»
15 years 3 months ago
Superlinear Convergence and Implicit Filtering
In this note we show how the implicit filtering algorithm can be coupled with the BFGS quasi-Newton update to obtain a superlinearly convergent iteration if the noise in the object...
T. D. Choi, C. T. Kelley
SIAMCO
2002
128views more  SIAMCO 2002»
15 years 3 months ago
Generalized Solutions in Nonlinear Stochastic Control Problems
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...
F. Dufour, Boris M. Miller
SIAMJO
2002
124views more  SIAMJO 2002»
15 years 3 months ago
The Sample Average Approximation Method for Stochastic Discrete Optimization
In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and...
Anton J. Kleywegt, Alexander Shapiro, Tito Homem-d...