Simultaneous perturbation Newton algorithms for simulation optimization
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Publication:2260692
DOI10.1007/s10957-013-0507-1zbMath1401.90134MaRDI QIDQ2260692
L. A. Prashanth, Shalabh Bhatnagar
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
stochastic approximation; simultaneous perturbation stochastic approximation; application to road traffic control; Newton algorithms; Sherman-Morrison lemma; three-simulation Hessian estimator
65K10: Numerical optimization and variational techniques
49M15: Newton-type methods
90C15: Stochastic programming
90B20: Traffic problems in operations research
Related Items
Simultaneous perturbation Newton algorithms for simulation optimization, Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise
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