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SIAMJO
2008
105views more  SIAMJO 2008»
14 years 9 months ago
On Stability of Multistage Stochastic Programs
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...
Christian Küchler
SIAMCO
2000
89views more  SIAMCO 2000»
14 years 9 months ago
Persistence of Excitation Properties for Time-Varying Autoregressive Systems
It is well known that a crucial property for the effective identification of time-varying systems is that the data carry continual information on the parameters to be estimated. As...
Sergio Bittanti, Marco C. Campi
79
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SIAMJO
2002
124views more  SIAMJO 2002»
14 years 9 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...
99
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MCSS
2008
Springer
14 years 8 months ago
Optimal control for unstructured nonlinear differential-algebraic equations of arbitrary index
We study optimal control problems for general unstructured nonlinear differential-algebraic equations of arbitrary index. In particular, we derive necessary conditions in the case ...
Peter Kunkel, Volker Mehrmann
SIAMMAX
2010
105views more  SIAMMAX 2010»
14 years 4 months ago
Construction of Covariance Matrices with a Specified Discrepancy Function Minimizer, with Application to Factor Analysis
The main goal of this paper is to develop a numerical procedure for construction of covariance matrices such that for a given covariance structural model and a discrepancy function...
So Yeon Chun, A. Shapiro