Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem

DOI10.1145/1502787.1502788zbMATH Open1390.65023OpenAlexW2621667117MaRDI QIDQ4565409FDOQ4565409

Authors: Raghu Pasupathy, Bruce W. Schmeiser 

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/10.1145/1502787.1502788

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zbMATH Keywords

sample-average approximationstochastic root findingretrospective approximation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical computation of solutions to systems of equations (65H10) Traffic problems in operations research (90B20)

Cited In (10)

• Title not available (Why is that?)
• On sampling rates in simulation-based recursions
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• Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
• A novel technique for stochastic root-finding: enhancing the search with adaptive \(d\)-ary search
• Iteratively sampling scheme for stochastic optimization with variable number sample path
• The stochastic root-finding problem: overview, solutions, and open questions
• ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
• Adaptive sequential sample average approximation for solving two-stage stochastic linear programs
• On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization

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