Simultaneous perturbation Newton algorithms for simulation optimization

DOI10.1007/S10957-013-0507-1MaRDI QIDQ2260692zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic approximationsimultaneous perturbation stochastic approximationapplication to road traffic controlNewton algorithmsSherman-Morrison lemmathree-simulation Hessian estimator

Mathematics Subject Classification ID

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
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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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