A Stochastic Approximation Method for Simulation-Based Quantile Optimization

DOI10.1287/IJOC.2022.1214MaRDI QIDQ5060775zbMATH OpenOpenAlexWikidataFDO

Authors Jiaqiao Hu, Yijie Peng, Gongbo Zhang, Qi Zhang

Publication date 11 January 2023

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2022.1214

zbMATH Keywords

stochastic approximationsimulation optimizationquantile sensitivities

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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Cites work

• scientific article; zbMATH DE number 1043533 (Why is no real title available?)
• A Multilevel Simulation Optimization Approach for Quantile Functions
• A measure-valued differentiation approach to sensitivities of quantiles
• A method for solving quantile optimization problems with a bilinear loss function
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
• Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
• Conditional Monte Carlo estimation of quantile sensitivities
• Estimating quantile sensitivities
• Guaranteeing approach to solving quantile optimization problems
• Kernel estimation of quantile sensitivities
• Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
• On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
• Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm
• Simulation optimization using multi-time-scale adaptive random search
• Stochastic approximation with two time scales
• Stochastic approximation. A dynamical systems viewpoint.
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis

Cited in

(4)

• A direct search method for unconstrained quantile-based simulation optimization
• Gradient-Based Simulation Optimization Algorithms via Multi-Resolution System Approximations
• An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
• Blackbox simulation optimization

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