Accelerating the convergence of random search methods for discrete stochastic optimization

DOI10.1145/352222.352225zbMATH Open1391.65019OpenAlexW2125969801MaRDI QIDQ4575347FDOQ4575347

Authors: Sigrún Andradóttir 

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1145/352222.352225

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zbMATH Keywords

convergence rateaccelerated convergencediscrete stochastic optimizationrandom search methodsestimating the optimal solution

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Search theory (90B40)

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• Discrete stochastic optimization using variants of the stochastic ruler method
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• Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
• An Asymptotically Optimal Set Approach for Simulation Optimization
• A modified Hooke and Jeeves algorithm with likelihood ratio performance extrapolation for simulation optimization
• On the convergence of the Baba and Dorea random optimization methods
• On modification of population-based search algorithms for convergence in stochastic combinatorial optimization
• Pattern search ranking and selection algorithms for mixed variable simulation-based optimization
• Penalty function with memory for discrete optimization via simulation with stochastic constraints
• Multi-objective simulation-based evolutionary algorithm for an aircraft spare parts allocation problem
• Stochastic comparison algorithm for discrete optimization with estimation of time-varying objective functions
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