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Stochastic Method for the Solution of Unconstrained Vector Optimization Problems |
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| Authors: | Schäffler S Schultz R Weinzierl K |
| Institution: | (1) Universität der Bundeswehr, EIT 1, Neubiberg, Germany;(2) Corporate Technology, Siemens AG, München, Germany;(3) Automation and Control, Siemens AG, Erlangen, Germany |
| 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. |
| Keywords: | vector optimization problems curves of dominated points Brownian motion stochastic differential equations |
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