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Adaptive Importance Sampling via Stochastic Convex Programming
Adaptive Importance Sampling via Stochastic Convex Programming
2015/7/8
We show that the variance of the Monte Carlo estimator that is importance sampled from an exponential family is a convex function of the natural parameter of the distribution. With this insight, we pr...
USER’S GUIDE FOR QPOPT 1.0: A FORTRAN PACKAGE FOR QUADRATIC PROGRAMMING
Quadratic programming linear programming linear constraints
2015/7/3
QPOPT is a set of Fortran subroutines for minimizing a general quadratic function
subject to linear constraints and simple upper and lower bounds. QPOPT may also be
used for linear programming and f...
User’s Guide for SNOPT Version 7: Software for Large-Scale Nonlinear Programming
optimization large-scale nonlinear programming nonlinear constraints
2015/7/3
SNOPT is a general-purpose system for constrained optimization. It minimizes a
linear or nonlinear function subject to bounds on the variables and sparse linear or
nonlinear constraints. It is suita...
Stable and efficient updates to the basis matrix factors are vital to the simplex
method. The "best" updating method depends on the machine in use and how the update is implemented. For example, the ...