Simultaneous perturbation Newton algorithms for simulation optimization
DOI10.1007/S10957-013-0507-1zbMATH Open1401.90134OpenAlexW2066841054MaRDI QIDQ2260692FDOQ2260692
Authors: Shalabh Bhatnagar, L. A. Prashanth 
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
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stochastic approximationsimultaneous perturbation stochastic approximationapplication to road traffic controlNewton algorithmsSherman-Morrison lemmathree-simulation Hessian estimator
Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Newton-type methods (49M15) Traffic problems in operations research (90B20)
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- Simultaneous perturbation Newton algorithms for simulation optimization
Cited In (6)
- Stochastic approximation algorithms for constrained optimization via simulation
- Optimization of Simulation via Quasi-Newton Methods
- Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
- Simultaneous perturbation Newton algorithms for simulation optimization
- Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
- Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise
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