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1、StochasticOptimizationMethodsSecondeditionKurtMartiStochasticOptimizationMethodsSecondedition123Univ.Prof.Dr.KurtMartiFederalArmedForcesUniversityMunichDepartmentofAerospaceEngineeringandTechnology85577Neubiberg/MünchenGermanykurt.marti@unibw-muenchen.deISBN:978-3-540-79457-8e-ISBN:9
2、78-3-540-79458-5LibraryofCongressControlNumber:2008925523°c2008Springer-VerlagBerlinHeidelbergThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,repr
3、oductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.Violationsareliabletoprosecutionunderthe
4、GermanCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:WMXDesignGmbH,HeidelbergPrint
5、edonacid-freepaper98765432springer.comPrefaceOptimizationproblemsinpracticedependmostlyonseveralmodelparame-ters,noisefactors,uncontrollableparameters,etc.,whicharenotgivenfixedquantitiesattheplanningstage.Typicalexamplesfromengineeringandeco-nomics/operationsresearchare:Materialparam
6、eters(e.g.elasticitymoduli,yieldstresses,allowablestresses,momentcapacities,andspecificgravity),ex-ternalloadings,frictioncoefficients,momentsofinertia,lengthoflinks,massoflinks,locationofcenterofgravityoflinks,manufacturingerrors,tolerances,noiseterms,demandparameters,technologicalcoeffi
7、cientsininput-outputfunctions,costfactors,etc..Duetoseveraltypesofstochasticuncertainties(physicaluncertainty,economicuncertainty,statisticaluncertainty,andmodeluncertainty)theseparametersmustbemodelledbyrandomvariableshavingacertainprobabilitydistribution.Inmostcasesatleastcertainmo
8、mentsofthisd
