Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization

DOI10.1145/1315575.1315577MaRDI QIDQ4565394zbMATH OpenOpenAlexFDO

Authors Shalabh Bhatnagar

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1315575.1315577

zbMATH Keywords

Gaussian perturbationsNewton-based algorithmssimulation optimizationsmoothed functional algorithmsthree-timescale stochastic approximation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical optimization and variational techniques (65K10)

Recommendations

• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Simultaneous perturbation Newton algorithms for simulation optimization
• Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
• Adaptive Newton-like method for shape optimization
• Adaptive inexact smoothing Newton method for a nonconforming discretization of a variational inequality
• Optimization of Simulation via Quasi-Newton Methods
• A Modified Quasi‐Newton Method for Optimization in Simulation
• A smoothing Newton method for nonlinear programming problems
• An adaptive Newton-method based on a dynamical systems approach
• A stochastic quasi-Newton method for simulation response optimization

Cited in

(13)

• Natural actor-critic algorithms
• Variance-constrained actor-critic algorithms for discounted and average reward MDPs
• Simultaneous perturbation Newton algorithms for simulation optimization
• Multiscale Q-learning with linear function approximation
• Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
• Stochastic approximation algorithms for constrained optimization via simulation
• Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Smoothed functional algorithms for stochastic optimization using q-Gaussian distributions
• Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems
• Truncated Cauchy random perturbations for smoothed functional-based stochastic optimization
• n-step temporal difference learning with optimal n
• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space

This page was built for publication: Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4565394)