Stochastic Optimization: Approximation Algorithms and Asymptotic Analysis

随机优化：近似算法和渐近分析

• 批准号: 0603287
• 负责人: Gang George Yin
• 金额: $ 23.66万
• 依托单位: Wayne State University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-07-15 至 2010-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0603287&HistoricalAwards=false
• 关键词: Stochastic; Optimization; Approximation; Algorithms; Asymptotic

Owing to the rapid advances in technology in the new era, real-world systems have embraced an ever-expanding complexity. Not only do they vary continuously subject to random disturbances, but also they experience certain switching processes, jump-changing occasionally to affect the systems' states, presenting another fold of uncertainty. In response to the needs in wireless communications, signal processing, manufacturing, finance, and economics, this project aims to design efficient computational methods and analytic properties for such systems. The project presents algorithms taking into consideration noisy measurements and random environments for emerging applications in mobile communications and financial market analysis. Motivated by pursuit-evasion games that involve additional environmental variables, this project develops numerical procedures for games with occasional and random switching, with potential applications to homeland security. To carry out identification tasks where only data obtained using sensors are available, as in automotive engineering and medical applications, identification algorithms using quantized data will be examined. To be able to describe complex systems and their inherent uncertainty and random environment, this project also emphasizes the understanding of the intrinsic properties of random processes, including both diffusive features and jump characteristics. The proposed research will yield new insight, and advance the state of the art of stochastic optimization methods.

由于新时代技术的迅速发展，现实世界中的系统已经具有不断扩大的复杂性。 它们不仅会不断地受到随机扰动的不断变化，而且还会经历某些切换过程，偶尔会变化以影响系统状态，并提出另一种不确定性。 为了响应无线通信，信号处理，制造，金融和经济学的需求，该项目旨在设计有效的计算方法和分析性能。 该项目提出了算法，考虑到移动通信和金融市场分析中新兴应用的嘈杂测量和随机环境。 该项目是由涉及其他环境变量的追求逃避游戏的动机，为偶尔和随机切换的游戏制定了数值程序，并潜在地应用了国土安全性。 为了执行仅使用传感器获得的数据，就像在汽车工程和医疗应用中一样，将检查使用量化数据的识别算法。 为了描述复杂的系统及其固有的不确定性和随机环境，该项目还强调了对随机过程的内在属性的理解，包括扩散特征和跳跃特征。 拟议的研究将产生新的见解，并推进随机优化方法的艺术状态。