Notation |
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xii | |
Preface |
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xiii | |
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PART I OVERVIEW OF OPTIMIZATION: APPLICATIONS AND PROBLEM FORMULATIONS |
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1 | (28) |
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1 Introduction To Optimization |
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3 | (26) |
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1.1 Statement Of General Mathematical Programming (Mp) (Optimization) Problem |
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3 | (3) |
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1.2 Applications In Technological And Scientific Problems |
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6 | (8) |
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1.3 Algorithms and Complexity |
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14 | (6) |
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1.4 Generalized Optimization Problems |
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20 | (5) |
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25 | (1) |
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25 | (1) |
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1.7 Further Reading Recommendations |
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26 | (3) |
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PART II FROM GENERAL MATHEMATICAL BACKGROUND TO GENERAL NONLINEAR PROGRAMMING PROBLEMS (NLP) |
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29 | (84) |
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31 | (7) |
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31 | (1) |
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2.2 Minimization versus Maximization |
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32 | (1) |
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2.3 Types of Extrema of a Function (Stationary Points) |
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32 | (1) |
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33 | (1) |
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2.5 Vectors, and Derivatives Involving Matrices and Vectors |
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34 | (3) |
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2.6 Further Reading Recommendations |
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37 | (1) |
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38 | (6) |
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3.1 Definition of Convex Function |
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38 | (3) |
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41 | (1) |
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3.3 Further Reading Recommendations |
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42 | (1) |
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42 | (2) |
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44 | (13) |
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4.1 Construction of the Matrix Form of a Quadratic Function by Example |
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44 | (1) |
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4.2 Eigenvalues of Q for Quadratic Functions and Convexity |
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45 | (4) |
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4.3 Geometrical Interpretation of Eigenvalues and Eigenvectors |
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49 | (1) |
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4.4 Solution of an Unconstrained Quadratic Program (QP) |
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50 | (1) |
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4.5 Least Squares Fitting and Its Relation to QP |
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51 | (5) |
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4.6 Further Reading Recommendations |
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56 | (1) |
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56 | (1) |
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5 Minimization In One Dimension |
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57 | (6) |
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57 | (1) |
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5.2 Golden Section Search |
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57 | (3) |
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60 | (1) |
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61 | (1) |
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5.5 Further Reading Recommendations |
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61 | (1) |
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62 | (1) |
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6 Unconstrained Multivariate Gradient-Based Minimization |
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63 | (18) |
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6.1 Minimum Stationary Points |
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63 | (1) |
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6.2 Calculating Derivatives |
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64 | (2) |
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6.3 The Steepest Descent Method |
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66 | (1) |
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67 | (2) |
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69 | (3) |
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6.6 The Newton Family of Methods |
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72 | (1) |
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6.7 Optimization Termination Criteria |
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73 | (1) |
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74 | (3) |
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6.9 Summary of the Chapter |
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77 | (1) |
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77 | (1) |
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77 | (4) |
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7 Constrained Nonlinear Programming Problems (Nlp) |
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81 | (10) |
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7.1 Convexity of Constraint Set |
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81 | (1) |
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7.2 Convex Programming Problem |
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81 | (1) |
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82 | (3) |
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7.4 Necessary Conditions of Optimality (KKT Conditions) |
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85 | (1) |
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7.5 Sufficient Conditions |
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85 | (2) |
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7.6 Discussion and Solution Procedures |
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87 | (1) |
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88 | (1) |
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7.8 Further Reading Recommendations |
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88 | (1) |
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89 | (2) |
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8 Penalty And Barrier Function Methods |
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91 | (10) |
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91 | (3) |
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8.2 Barrier Methods: Logarithmic Barriers |
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94 | (2) |
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8.3 Penalty-Multiplier Method (Augmented Lagrangian Method) |
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96 | (3) |
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8.4 Further Reading Recommendations |
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99 | (1) |
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99 | (2) |
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9 Interior Point Methods (Ipm's): A Detailed Analysis |
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101 | (12) |
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9.1 NLP Formulations and Lagrangians |
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101 | (1) |
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9.2 Logarithmic Barrier Functions for Inequality Constrained NLPs |
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102 | (3) |
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9.3 Reformulating NLP Problems into Canonical Form |
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105 | (1) |
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9.4 Newton's Method for NLP with Equality Constraints Only |
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106 | (1) |
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9.5 Logarithmic Barriers for NLPs with Equalities and Bounds |
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107 | (4) |
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9.6 Summary of Interior Point Methods |
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111 | (1) |
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112 | (1) |
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9.8 Further Reading Recommendations |
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112 | (1) |
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PART III FORMULATION AND SOLUTION OF LINEAR PROGRAMMING (LP) PROBLEMS |
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113 | (223) |
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10 Introduction To Lp Models |
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115 | (8) |
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10.1 General LP Problem Model |
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115 | (1) |
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10.2 Geometrical Solution and Interpretation of LP Problems |
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116 | (6) |
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10.3 Further Reading Recommendations |
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122 | (1) |
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11 Numerical Solution Of Lp Problems Using The Simplex Method |
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123 | (10) |
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123 | (1) |
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11.2 Rectangular Systems of Linear Equations |
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123 | (2) |
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11.3 Rectangular Systems and the Objective Function of the LP Problem |
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125 | (1) |
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126 | (2) |
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11.5 Revisiting the Use of Artificial Variables for an Initial Basic Solution |
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128 | (1) |
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11.6 Numerical Examples of the Simplex Method |
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128 | (2) |
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130 | (1) |
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11.8 Further Reading Recommendations |
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130 | (1) |
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131 | (2) |
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12 A Sampler Of Lp Problem Formulations |
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133 | (13) |
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133 | (1) |
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134 | (1) |
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135 | (1) |
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12.4 Transportation Problem |
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136 | (2) |
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12.5 Linear ODE Optimal Control Problem (OCP) |
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138 | (5) |
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12.6 Further Reading Recommendations |
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143 | (1) |
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144 | (2) |
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13 Regression Revisited: Using Lp To Fit Linear Models |
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146 | (5) |
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13.1 l2 / Euclidean Norm Fitting (Least Squares) |
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146 | (1) |
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147 | (1) |
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148 | (1) |
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13.4 Application: Antoine Vapor Pressure Correlation Fitting |
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148 | (2) |
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13.5 Further Reading Recommendations |
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150 | (1) |
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151 | (10) |
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14.1 Network, Arcs, Graphs |
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151 | (1) |
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14.2 Minimum Cost Network Flow Problem |
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152 | (1) |
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14.3 Integrality of Solution Theorem |
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153 | (1) |
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14.4 Capacitated Minimum Cost Network Flow Problem |
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154 | (1) |
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14.5 Shortest Path (or Minimum Distance) Problem |
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154 | (1) |
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14.6 Transportation Problem |
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155 | (2) |
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14.7 Transshipment Problem |
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157 | (1) |
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14.8 The Assignment Problem |
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158 | (1) |
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159 | (1) |
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14.10 Further Reading Recommendations |
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159 | (1) |
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159 | (2) |
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15 Lp And Sensitivity Analysis, In Brief |
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161 | (7) |
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15.1 The Value of Lagrange Multipliers |
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161 | (1) |
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15.2 Lagrange Multipliers in LP |
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161 | (2) |
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15.3 Example of Sensitivity Analysis |
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163 | (3) |
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166 | (1) |
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15.5 Further Reading Recommendations |
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167 | (1) |
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16 Multiobjective Optimization |
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168 | (27) |
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168 | (2) |
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16.2 Pareto Optimality Theory |
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170 | (3) |
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16.3 Solution Procedures Generating Pareto Points |
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173 | (12) |
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16.4 Pareto Solution Sets |
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185 | (4) |
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16.5 Conclusions and further reading |
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189 | (1) |
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190 | (1) |
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191 | (2) |
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193 | (2) |
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17 Optimization Under Uncertainty |
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195 | (33) |
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195 | (2) |
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17.2 Different Approaches to Address Optimization Under Uncertainty |
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197 | (6) |
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203 | (2) |
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17.4 Sample Average Approximation Method |
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205 | (3) |
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17.5 Scenario Generation and Sampling Methods |
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208 | (4) |
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17.6 Sampling Methods for Scenario Generation |
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212 | (6) |
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17.7 Solutions on Average Approximation Algorithm |
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218 | (1) |
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17.8 Flexibility Analysis of Chemical Processes |
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218 | (6) |
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224 | (1) |
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17.10 Further Reading Recommendations |
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225 | (1) |
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226 | (2) |
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18 Mixed-Integer Programming Problems |
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228 | (33) |
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18.1 Preliminaries to Solving Mixed-Integer Programming Problems |
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229 | (4) |
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18.2 Solution Techniques for Mixed-Integer Linear Programming Problems (MILP) |
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233 | (11) |
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18.3 Solution Techniques for MINLP Problems |
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244 | (14) |
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258 | (1) |
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18.5 Further Reading Recommendations |
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259 | (1) |
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260 | (1) |
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261 | (26) |
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261 | (1) |
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262 | (5) |
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19.3 Reducing the Domain for a Branch and Reduce Approach |
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267 | (6) |
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273 | (7) |
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280 | (2) |
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19.6 Pseudocode for a Global Optimization Algorithm |
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282 | (1) |
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283 | (1) |
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19.8 Further Reading Recommendations |
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284 | (1) |
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285 | (2) |
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20 Optimal Control Problems (Dynamic Optimization) |
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287 | (25) |
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20.1 Problem Statement, Single-Stage and Multistage Problems |
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287 | (5) |
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20.2 Pontryagin's Minimum (Maximum) to Solve Single-Stage Dynamics |
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292 | (4) |
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20.3 Transcription to NLP Problems via Discretization |
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296 | (8) |
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20.4 Control and State Parameterization via Orthogonal Collocation |
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304 | (6) |
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310 | (1) |
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20.6 Further Reading Recommendations |
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311 | (1) |
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311 | (1) |
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21 System Identification And Model Predictive Control |
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312 | (24) |
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312 | (1) |
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313 | (6) |
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21.3 Introduction to System Identification |
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319 | (7) |
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21.4 Introduction to Model Predictive Control (MPC) |
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326 | (6) |
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21.5 Discussion on the Impact of Optimization Algorithms on Identification and MPC |
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332 | (1) |
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332 | (2) |
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334 | (2) |
Index |
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336 | |