Simultaneous perturbation Newton algorithms for simulation optimization

DOI10.1007/s10957-013-0507-1zbMath1401.90134OpenAlexW2066841054MaRDI QIDQ2260692

L. A. Prashanth, Shalabh Bhatnagar

Publication date: 11 March 2015

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0507-1

zbMATH Keywords

stochastic approximationsimultaneous perturbation stochastic approximationapplication to road traffic controlNewton algorithmsSherman-Morrison lemmathree-simulation Hessian estimator

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Stochastic programming (90C15) Traffic problems in operations research (90B20)

Related Items (2)

Simultaneous perturbation Newton algorithms for simulation optimization ⋮ Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise

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