Gradient-based simulation optimization under probability constraints

DOI10.1016/J.EJOR.2011.01.049MaRDI QIDQ421531zbMATH OpenOpenAlexFDO

Authors Laetitia Andrieu, Guy Cohen, Felisa J. Vázquez-Abad

Publication date 14 May 2012

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2011.01.049

zbMATH Keywords

stochastic approximationstochastic gradient algorithmprobability constraints

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15)

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Cites work

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• Ill-conditioned performance functions of queueing systems
• Introduction to Stochastic Programming
• Measure-valued differentiation for Markov chains
• Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
• Scenario approximations of chance constraints
• Sensitivity analysis for ruin probabilities: canonical risk model
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Cited in

(9)

• A sampling criterion for constrained Bayesian optimization with uncertainties
• Two approaches to stochastic optimal control problems with a final-time expectation constraint
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• Extensions of stochastic optimization results to problems with system failure probability functions
• Indirect inference with a non-smooth criterion function
• A direct search method for unconstrained quantile-based simulation optimization
• Gradient-Based Algorithms for Convex Discrete Optimization via Simulation
• Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization
• Discrete conditional-expectation-based simulation optimization: methodology and applications

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