Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
DOI10.1145/1315575.1315577zbMATH Open1390.65020OpenAlexW2115020145MaRDI QIDQ4565394FDOQ4565394
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
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simulation optimizationGaussian perturbationsNewton-based algorithmssmoothed functional algorithmsthree-timescale stochastic approximation
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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- 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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