Simultaneous perturbation Newton algorithms for simulation optimization
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Publication:2260692
The authors present a balanced three-simulation Hessian estimator based on the simultaneous perturbation technique. Using this Hessian estimator, two Newton-based algorithms that work around the normally tedious procedure of inverting the Hessian are also presented. The proofs of convergence for both algorithms are given, too. An interesting application of the algorithms on a problem of road traffic control is given.
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Cited in
(6)- Simultaneous perturbation Newton algorithms for simulation optimization
- Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise
- Optimization of Simulation via Quasi-Newton Methods
- Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
- Stochastic approximation algorithms for constrained optimization via simulation
- Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
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