A VARIANT OF THE CESTAC METHOD AND ITS APPLICATION TO CONSTRAINED OPTIMIZATION

被引：2
作者：
ABADIE, J
DEKHLI, F
机构：
[1] UNIV PIERRE & MARIE CURIE 06,INST PROGRAMMAT,F-75230 PARIS 05,FRANCE
[2] UNIV CHICAGO,GRAD SCH BUSINESS,CHICAGO,IL 60637
来源：
MATHEMATICS AND COMPUTERS IN SIMULATION | 1988年 / 30卷 / 06期
关键词：
CESTAC Method - Constrained Optimization - Floating Point Arithmetic - Optimal Stopping Criterion - Round-Off Error Analysis - Stochastic Methods;
D O I：
10.1016/0378-4754(88)90073-0
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The Vignes-La Porte CESTAC method enables the computer, when solving a problem in floating-point arithmetics (e.g., a system of equations), to construct 95% confidence intervals for the accuracy of the solution. In iterative methods, this involves the Optimal Stopping Criterion, which may be too costly or impossible to achieve. Here we present a variant which permits the use of classical stopping criteria. This variant is applied to the Generalized Reduced Gradient (GRG) method for nonlinear constrained optimization problems. Numerical experiments are presented.
引用
收藏
页码：519 / 529
页数：11
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