Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions

DOI10.1080/00207170701611123zbMath1152.90549OpenAlexW2041674317MaRDI QIDQ3543053

I-Jeng Wang, James C. Spall

Publication date: 1 December 2008

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170701611123

zbMATH Keywords

stochastic optimisationinequality constraintsimultaneous perturbation

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

• Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
• Stochastic approximation methods for constrained and unconstrained systems
• Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Model-free control of nonlinear stochastic systems with discrete-time measurements
• Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
• On Asymptotic Normality in Stochastic Approximation
• Stochastic Estimation of the Maximum of a Regression Function

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