A Partition-Based Random Search for Stochastic Constrained Optimization via Simulation

DOI10.1109/TAC.2016.2570119MaRDI QIDQ2989581zbMATH OpenOpenAlexFDO

Authors Siyang Gao, Weiwei Chen

Publication date 8 June 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2016.2570119

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Cited in

(6)

• Balancing Search and Estimation in Random Search Based Stochastic Simulation Optimization
• Efficient estimation of a risk measure requiring two-stage simulation optimization
• Partitioned random search for global optimization with sampling cost and discounting factor
• Self-adjusting the tolerance level in a fully sequential feasibility check procedure
• Pareto set estimation with guaranteed probability of correct selection
• Finding Feasible Systems for Subjective Constraints Using Recycled Observations

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