Lectures on Stochastic Programming-Model
这是一本关于随机规划比较全面的书！比较难，不太容易啃，但是读了之后收获很大。这是高清版的！To Julia, Benjamin, Daniel, Nalan, and Yael;to Tsonka Konstatin and Marekand to the memory of feliks, Maria, and dentcho2009/8/20pagContentsList of notationserace1 Stochastic Programming ModelsIntroduction1.2 Invento1.2.1The news vendor problem1.2.2Constraints12.3Multistage modelsMultiproduct assembl1.3.1Two-Stage Model1.3.2Chance Constrained ModeMultistage modelPortfolio selection131.4.1Static model14.2Multistage Portfolio selection14.3Decision rule211.5 Supply Chain Network Design22Exercises2 Two-Stage Problems272.1 Linear Two-Stage Problems2.1.1Basic pi272.1.2The Expected Recourse Cost for Discrete Distributions 302.1.3The Expected Recourse Cost for General Distributions.. 322.1.4Optimality Conditions垂Polyhedral Two-Stage Problems422.2.1General Properties422.2.2Expected recourse CostOptimality conditions2.3 General Two-Stage Problems82.3.1Problem Formulation, Interchangeability482.3.2Convex Two-Stage Problems2.4 Nonanticipativity2009/8/20page villContents2.4.1Scenario formulation2.4.2Dualization of Nonanticipativity Constraints2.4.3Nonanticipativity duality for general Distributions2.4.4Value of perfect infExercises3 Multistage problems3. 1 Problem Formulation633.1.1The general setting3.1The Linear case653.1.3Scenario trees3.1.4Algebraic Formulation of nonanticipativity constraints 7lDuality....763.2.1Convex multistage problems·763.2.2Optimality Conditions3.2.3Dualization of Feasibility Constraints3.2.4Dualization of nonanticipativity ConstraintsExercises4 Optimization models with Probabilistic Constraints874.1 Introduction874.2 Convexity in Probabilistic Optimization4.2Generalized Concavity of Functions and measures4.2.2Convexity of probabilistically constrained sets1064.2.3Connectedness of Probabilistically Constrained Sets... 113Separable probabilistic Constraints.1144.3Continuity and Differentiability Properties ofDistribution functions4.3.2p-Efficient Points.1154.3.3Optimality Conditions and Duality Theory1224 Optimization Problems with Nonseparable Probabilistic Constraints.. 1324.4Differentiability of Probability Functions and OptimalityConditions13344.2Approximations of Nonseparable ProbabilisticConstraints134.5 Semi-infinite Probabilistic Problems144E1505 Statistical Inference155Statistical Properties of Sample Average Approximation Estimators.. 1555.1.1Consistency of SAA estimators1575.1.2Asymptotics of the saa Optimal value1635.1.3Second order asStochastic Programs5.2 Stoch1745.2.1Consistency of solutions of the SAA GeneralizedEquatio1752009/8/20pContents5.2.2Atotics of saa generalized equations estimators 1775.3 Monte Carlo Sampling Methods180Exponential Rates of Convergence and Sample sizeEstimates in the Case of a finite Feasible se1815.3.2Sample size estimates in the General Case1855.3.3Finite Exponential Convergence1915.4 Quasi-Monte Carlo Methods1935.Variance-Reduction Techniques198Latin hmpling1985.5.2Linear Control random variables method200ng and likelihood ratio methods 205.6 Validation analysis5.6.1Estimation of the optimality g2025.6.2Statistical Testing of Optimality Conditions2075.7Constrained Probler5.7.1Monte Carlo Sampling Approach2105.7.2Validation of an Optimal solution5.8 SAA Method Applied to Multistage Stochastic Programmin205.8.1Statistical Properties of Multistage SAA Estimators22l5.8.2Complexity estimates of Multistage Programs2265.9 Stochastic Approximation Method2305.9Classical Approach5.9.2Robust sA approach..23359.3Mirror Descent sa method235.9.4Accuracy Certificates for Mirror Descent Sa Solutions.. 244Exercis6 Risk Averse Optimi2536.1 Introductio6.2 Mean-Risk models.2546.2.1Main ideas of mean -Risk analysis546.2.2Semideviation6.2.3Weighted Mean Deviations from Quantiles.2566.2.4Average value-at-Risk2576.3 Coherent risk measures2616.3.1Differentiability Properties of Risk Measures2656.3.2Examples of risk Measures..2696.3.3Law invariant risk measures and Stochastic orders2796.3.4Relation to Ambiguous Chance Constraints2856.4 Optimization of risk measures.2886.4.1Dualization of Nonanticipativity Constraints2916.4.2Examples...2956.5 Statistical Properties of Risk measures6.5.IAverage value-at-Ris6.52Absolute semideviation risk measure301Von mises statistical functionals3046.6The problem of moments306中2009/8/20page xContents6.7 Multistage Risk Averse Optimization3086.7.1Scenario tree formulation3086.7.2Conditional risk mappings3156.7.3Risk Averse multistage Stochastic Programming318Exercises3287 Background material3337.1 Optimization and Convex Analysis..334Directional Differentiability3347.1.2Elements of Convex Analysis3367.1.3Optimization and duality3397.1.4Optimality Conditions.............3467.1.5Perturbation analysis3517.1.6Epiconvergence3572 Probability3597.2.1Probability spaces and random variables7.2.2Conditional Probability and Conditional Expectation... 36372.3Measurable multifunctions and random functions3657.2.4Expectation Functions.3687.2.5Uniform Laws of Large Numbers...,,3747.2.6Law of Large Numbers for Random Sets andSubdifferentials3797.2.7Delta method7.2.8Exponential Bounds of the Large Deviations Theory3877.2.9Uniform Exponential Bounds7.3 Elements of Functional analysis3997.3Conjugate duality and differentiability.......... 4017.3.2Lattice structure4034058 Bibliographical remarks407Biibliography415Index4312009/8/20pageList of Notationsequal by definition, 333IR", n-dimensional space, 333A, transpose of matrix(vector)A, 3336I, domain of the conjugate of risk mea-C(X) space of continuous functions, 165sure p, 262CK, polar of cone C, 337Cn, the space of nonempty compact sub-C(v,R"), space of continuously differ-sets of r 379entiable mappings,176set of probability density functions,I Fr influence function. 3042L, orthogonal of (linear) space L, 41Sz, set of contact points, 3990(1), generic constant, 188b(k; a, N), cdf of binomial distribution,Op(), term, 382214S, the set of &-optimal solutions of theo, distance generating function, 236true problem, 18g(x), right-hand-side derivative, 297Va(a), Lebesgue measure of set A C RdCl(A), topological closure of set A, 334195conv(C), convex hull of set C, 337W,(U), space of Lipschitz continuousCorr(X, Y), correlation of X and Y 200functions. 166. 353CoV(X, Y, covariance of X and y, 180[a]+=max{a,0},2ga, weighted mean deviation, 256IA(, indicator function of set A, 334Sc(, support function of set C, 337n(n.f. p). space. 399A(x), set ofdist(x, A), distance from point x to set Ae multipliers vectors334348dom f, domain of function f, 333N(μ,∑), nonmal distribution,16Nc, normal cone to set C, 337dom 9, domain of multifunction 9, 365IR, set of extended real numbers. 333o(z), cdf of standard normal distribution,epif, epigraph of function f, 333IIx, metric projection onto set X, 231epiconvergence, 377convergence in distribution, 163SN, the set of optimal solutions of the0(x,h)d order tangent set 348SAA problem. 156AVOR. Average value-at-Risk. 258Sa, the set of 8-optimal solutions of thef, set of probability measures, 306SAA problem. 181ID(A, B), deviation of set A from set Bn,N, optimal value of the Saa problem,334156IDIZ], dispersion measure of random vari-N(x), sample average function, 155able 7. 2541A(, characteristic function of set A, 334吧, expectation,361int(C), interior of set C, 336TH(A, B), Hausdorff distance between setsLa」, integer part of a∈R,219A and B. 334Isc f, lower semicontinuous hull of funcN, set of positive integers, 359tion f, 3332009/8/20pageList of notationsRc, radial cone to set C, 337C, tangent cone to set C, 337V-f(r), Hessian matrix of second orderpartial derivatives, 179a. subdifferential. 338a, Clarke generalized gradient, 336as, epsilon subdifferential, 380pos w, positive hull of matrix W, 29Pr(A), probability of event A, 360ri relative interior. 337upper semideviation, 255Le, lower semideviation, 255@R. Value-at-Risk. 25Var[X], variance of X, 149, optimal value of the true problem, 1565=(51,……,5), history of the process,{a,b},186r, conjugate of function/, 338f(x, d), generalized directional deriva-g(x, h), directional derivative, 334O,(, term, 382p-efficient point, 116lid, independently identically distributed,1562009/8/20page xlllPrefaceThe main topic of this book is optimization problems involving uncertain parametersfor which stochastic models are available. Although many ways have been proposed tomodel uncertain quantities stochastic models have proved their flexibility and usefulnessin diverse areas of science. This is mainly due to solid mathematical foundations andtheoretical richness of the theory of probabilitystochastic processes, and to soundstatistical techniques of using real dataOptimization problems involving stochastic models occur in almost all areas of scienceand engineering, from telecommunication and medicine to finance This stimulates interestin rigorous ways of formulating, analyzing, and solving such problems. Due to the presenceof random parameters in the model, the theory combines concepts of the optimization theory,the theory of probability and statistics, and functional analysis. Moreover, in recent years thetheory and methods of stochastic programming have undergone major advances. all thesefactors motivated us to present in an accessible and rigorous form contemporary models andideas of stochastic programming. We hope that the book will encourage other researchersto apply stochastic programming models and to undertake further studies of this fascinatinand rapidly developing areaWe do not try to provide a comprehensive presentation of all aspects of stochasticprogramming, but we rather concentrate on theoretical foundations and recent advances inselected areas. The book is organized into seven chapters The first chapter addresses modeling issues. The basic concepts, such as recourse actions, chance(probabilistic)constraintsand the nonanticipativity principle, are introduced in the context of specific models. Thediscussion is aimed at providing motivation for the theoretical developments in the book,rather than practical recommendationsChapters 2 and 3 present detailed development of the theory of two-stage and multistage stochastic programming problems. We analyze properties of the models and developoptimality conditions and duality theory in a rather general setting. Our analysis coversgeneral distributions of uncertain parameters and provides special results for discrete distributions, which are relevant for numerical methods. Due to specific properties of two- andmultistage stochastic programming problems, we were able to derive many of these resultswithout resorting to methods of functional analvsisThe basic assumption in the modeling and technical developments is that the proba-bility distribution of the random data is not influenced by our actions(decisions). In someapplications, this assumption could be unjustified. However, dependence of probability dis-tribution on decisions typically destroys the convex structure of the optimization problemsconsidered, and our analysis exploits convexity in a significant way
- 2020-12-09下载
- 积分：1
支持向量机 邓乃扬
这本书是中科院的邓乃扬、田英杰老师所写，想要深入学习SVM相关理论和算法的同学可以看看这本书，我个人这本书非常好。数据挖掘源于数据库技术引发的海量数据和人们利用这些数据的愿望.用数据管理系统存储数据,用机器学习约方法分析数据、挖掘海量数据背片的知识,便促成了数据挖掘( data mining的产生.慨括地讲,数据挖掘的任务是从大型数据库或数据仓库中提取人们感兴趣的、事先知的、有用的或潜在有用的信息支持向量机( suppoort vector machine.SVM是数据挖握中的项新技术,是借助于最优化方法解决机器学习问题的新工具它最初于20世纪90年代由 Vapnik提出,近年来在其理论研究和算法实方宙都取得∫突破性进,开始成为克服维数灾难”和“过学习”等传统困难的有力手段虽然它还处于飞速发展的阶段,但是它的理论基础和实现途径的基本框架已经形成。白200年开始,国外已续有几本专蓍出版.据我们所知,本是国内第一本专门对它进行全面完整介绍和论述的书籍本书王要以分类问题(模式识别,判别分析)和回归问题为背景,系统阐述支持量机和相应的最优化方法.各章的主要内容如下:第1章介纲最优化问题及其基本理论.第2章对分类闻题和回归问题直观地导出最基本的支持向量机.第3章介绍核的理论,这是推广基本的支持向量机的关键,也是通过线性问题求解非线性问题的基础.第4章介绍统计学习理论,讨论支浡向量机的统计学理论基狲第5章和第6章分别详细研究支持向量分类机和支持向量回U机.第7章介绍实现支持向量机的最优化算法.第8章讨论支持向量机的应用,包括解决实际问题时的一些处理方法和一些应用实例本书包括了我们自己的研究工作例如,在做为支持向量机基础的原始问题和对偶间题解的关系上,我们发现,当前文献的论述存在着逻辑上的缺陷本书第次在完严密的逻辑基础上完善了各种支持向量机中的最优化问题的理论体系此外,作为求解支持向量机中优化问题的方法,本书介绍了我们自已的研究成果如处理大型问题的 Newton-PCG型算法.另外还立说明,本书还包含了我们讨论班成员的若干研究工作本书所设定的读者包括关心理论与应用两方面的人土,对于支持向量机的理论,4有系统而严谨的论述;作为使用支持向量机的入「,有直观的谎明.实际上我们特别强调该书的叮读性,强调崑观对理解问题实质的重要作用.我们通常总是首先用图像等直观手段引进各种概含、方法和结论,并特别注意对它们的本质给予形象的解释和说明,最后给出其严格证明.仅仅关心实际应用的读者,略去这些证明以及若于理论结论,仍可以对所介绍的方法的本质有一个概括的理解本书对有关领域具有高等数学知识的实际下作者是一本实用读物.我们希望本书的出版,能普及和推广支持向量机在多种宴际领域中的应用,也能促进我对支捋向量机的深入研究,特别是促进优化界朋友们的关心与参与本书得以出版,我们要感谢中国科学院科学出版基金和华夏英才基金的资助,冋时乜要感谢十国农业大学各级領导的支持利重点课程建设的资助.本书已被选为中国衣业大学研究生系列教材,我们还要感谢国家自然科学甚金多年来对我们研究工作的资助.本书作者曾致力于最优化方法的饼究多年,儿年前片始组线和领导讨沦班,学与研究数据挖掘利支持向螳柷.除本书位作耆外,讨论班的成以还有上来生教投、薛毅教授、钟萍剴教授、经玲舭教授、张春华、杨志民、刘广利、苏时光等多入,狂这里我们要将别感谢钏萍副教授和张春华.比外,我们还要媵谢刘宝光和张建中两位教授以及梁玉梅、张梅梅两位同学,他们都对本书提供了帮助臼于作者水平所限,书中难免有不要之处,欢迎读者批评指正符号表R实数集合R绁欧氏字间LEi, g洲冻点T={(x1,w)…,(x,y)}训练集洲练点个数输入空间输出空阊x洲练点所仁空间(X×y)练集所在竿间输入向量(输人广模式问量x的第个分量Hilbert空间中的向量x向量x的第个分量输出指标(输出)与的内积?内积空间, Hilbert空间={:1,…,xt输入空间中的个点组成的集合2={xHilber空间中的l个点组成的集合d输人空间到 Silbert空间的映射权向量权向量u的第分量Hi]bert空间中的权向量权向量w的第个分量b网值Co凸壳sang符号函效k(I核函数核矩阵〔Gram矩阵Fp-范数2-范数hv维惩罚参数收缩壳的参数白蚣对数pe底为2的对数将号表松弛变量松弛变量的第x个分量间隔对偶变量, Lagrange乘子寸偶变量的第i个分量通常获示概率分布概率百录序言符号表第1章最优化问题及其基本理论…l■1口■■會■■■■血PPP中11最优化问题1,1,1最优化问题实例1.12最优化问题1.1.3凸最优化12最优生条件1512上无约束问题的最优性条件122约束问题的最优性彖件181.3对偶理论∴131最大最小对偶132 Lagrange对偶■■q381,4注记参考文献…4了第2章求解分类问题和回归问题的宜观途径21分类问题的提出19211例子(心脏病诊断〕4921.2分类问题和分类学习机22线性分类学习机53221线性可分问题的线性分划222近似线性可分闻题的线性分划2.3支持向量分类机…231从性分划到二次分划23.2二次分划算法的简化74233非缓性分划的基本途径24线性回归学习机n+“dk+■啬啬■■■■■F番24.1回归问题242线性回归问题与硬E-带超平面243硬E-芾超平面的构造244硬s-#超平面的推36245线性支持向量回止机25支持向量归机26注记9参考文献第3章核31带述相似性的工具—内积963⊥.1直观的相似程度与内积312支持向量分类机中的相似与内积,983.1.核函数的选取9832考项式空间和多听式核32.1有序单项式空间32.2元序单项式空间1323 FIlbert空间与多项式核函教10433 Mercer核·…··105331半正定矩阵的特征展开15332 Mercer定理与 Mercer核10g34正定核1123.41正定核的必要条件·…·113342正定核的充分条件113343正定核的特征344再生核lber空间11634.5正定核与 MMercer核的关系…73.5核的构造…··11了3.51核的构造原则,·117352落用的几种核函数j2036注记…··:122参考文献123第4章推广能力的理论估计41失函数和期望风险1254.11概率分布125412损失函數413期胡凤险……13242求解分类问题的一种途径和-个算法模型136421分类问题的一个自然的数学提法1:f422求解分类问题的途径141423-个学习算法4.3VC雏44学」算法在概率意义下的近似正确性14G45一致性概念和关键定理日录16结构风险最小化,,,,1524了甚于问隔的推广估计15448注记∵■■■参考文献(2第5章分类问题…51最大间隔原则51.1绒性叮分问题的最大河隔原则52扰动意义下的几何解释■■152找性可分支持向量分类机6i6521线性可分问题的规范超平面522原始最优化问题…523对偶问题及其与原始问题的关系69524线性可分支持向量分类机及其理论基础I7353线性支持向量分类机l7生531原始问题17生532对偶问题及其与原始问题的关系179533线性支持向量分关机及其理论基础l83534支持向量1854支持向量分类机186541可分支持向量分类机…16542支持向量分米机55-支持向量分类机(-SVC)5【-线性支持向量分类机的原始最优化间题552v线性支持向量分类机的对偶问题及其与原始向题的关系553-支持向量分类机然挖554-支持向量分类机的性质指56-支持向量分类机(v-sV)和-支持向量分类机(C-SVC)的关系206561主要结论2郑6562丰要结论的证明57多类分类问题21457.1类对余类215572成对分类2]7573纠错输出编码方法2]8574确定名类目标函数方法218个何子59注记221目录参考文献P「q「第6章回归佔计61回归问题■■■224611可归叵题的难点61.2回归间题的数学提法■1L■…….2266上3不敏感掘失函数22562E-支持向量回归机…….…::,·226.2硬∈带支持向量回机228622从线性6-支持向最回归机到E·支持向量回归机2:363·支持向量回归机··24563L原始最优化问题……·245632对個问题及其与原始问题的关系…,·2486.33-支持向量国归机252634-支持向量回归机的性质25生64E-支持向量回归机(esVR)与p支持向量回妇机{u-SvR的关系641主要结论啁E562主要结论的证明…,2565其他形式的支持向量回归机259G1支持向最回归机的线性规划形式65.2E-带为任意形状的支持向量回归机26266其他形式的损失函数26467一些例子26867l维回归问趣672二维回归间题27068注记■■■司司■卩4■272参考文献血·“·第7章算法71元约束问题解法…2747⊥1无约束问鹎提法记74712基本无约束问题算法…·277713牛顿条件颓优共把梯度法( Newton-PCG算法)29472内点算法21线性规划的原仿射尺度法722线性规划的原-对偶算法723凸二次规划的仿射灵度法724凸二次规划的原-对偶算法P
- 2021-05-06下载
- 积分：1
