Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
From MaRDI portal
Publication:3543053
DOI10.1080/00207170701611123zbMath1152.90549MaRDI QIDQ3543053
Publication date: 1 December 2008
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207170701611123
90C15: Stochastic programming
Related Items
A direct search method for unconstrained quantile-based simulation optimization, Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization, Model-free constrained data-driven iterative reference input tuning algorithm with experimental validation
Cites Work
- Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
- Stochastic approximation methods for constrained and unconstrained systems
- Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
- Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
- Model-free control of nonlinear stochastic systems with discrete-time measurements
- Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
- On Asymptotic Normality in Stochastic Approximation
- Stochastic Estimation of the Maximum of a Regression Function