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Stochastic Method for the Solution of Unconstrained Vector Optimization Problems

  • S. Schäffler
  • R. Schultz
  • K. Weinzierl
Article

Abstract

We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given.

vector optimization problems curves of dominated points Brownian motion stochastic differential equations 

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Copyright information

© Plenum Publishing Corporation 2002

Authors and Affiliations

  • S. Schäffler
    • 1
  • R. Schultz
    • 2
  • K. Weinzierl
    • 3
  1. 1.Universität der Bundeswehr, EIT 1NeubibergGermany
  2. 2.Corporate TechnologySiemens AGMünchenGermany
  3. 3.Automation and ControlSiemens AGErlangenGermany

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