Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization

DOI10.1145/1315575.1315577MaRDI QIDQ4565394zbMATH OpenOpenAlexFDO

Authors Shalabh Bhatnagar

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1315575.1315577

zbMATH Keywords

simulation optimizationGaussian perturbationsNewton-based algorithmssmoothed functional algorithmsthree-timescale stochastic approximation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Estimation in multivariate analysis (62H12) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cited in

(12)

• Variance-constrained actor-critic algorithms for discounted and average reward MDPs
• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space
• Stochastic approximation algorithms for constrained optimization via simulation
• Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
• Natural actor-critic algorithms
• Multiscale Q-learning with linear function approximation
• Simultaneous perturbation Newton algorithms for simulation optimization
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
• Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems
• Truncated Cauchy random perturbations for smoothed functional-based stochastic optimization
• Smoothed functional algorithms for stochastic optimization using \(q\)-Gaussian distributions

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