Stochastic approximation algorithms for constrained optimization via simulation
DOI10.1145/1921598.1921599zbMATH Open1386.65159OpenAlexW2059984770MaRDI QIDQ4635177FDOQ4635177
Authors: Shalabh Bhatnagar, Vivek Kumar Mishra, Nandyala Hemachandra 
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1921598.1921599
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stochastic approximationinequality constraintsLagrange multipliersimulation-based constrained optimizationsimultaneous perturbation stochastic approximation estimatessmoothed functional estimates
Numerical optimization and variational techniques (65K10) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cited In (22)
- Stochastic Simulation on Integer Constraint Sets
- Simulation-Based Optimality Tests for Stochastic Programs
- Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
- Variance-constrained actor-critic algorithms for discounted and average reward MDPs
- Constrained optimization in expensive simulation: novel approach
- Improved penalty function with memory for stochastically constrained optimization via simulation
- Title not available (Why is that?)
- Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
- Genetic-algorithm-based simulation optimization considering a single stochastic constraint
- A direct search method for unconstrained quantile-based simulation optimization
- Simultaneous perturbation Newton algorithms for simulation optimization
- Gradient-based simulation optimization under probability constraints
- Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
- Rapid screening algorithms for stochastically constrained problems
- Gradient-Based Simulation Optimization Algorithms via Multi-Resolution System Approximations
- Sleeping experts and bandits approach to constrained Markov decision processes
- Simulation-based optimization by new stochastic approximation algorithm
- Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
- Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization
- Limit Theorems for Simulation-Based Optimization via Random Search
- On constrained simulation and optimization by Metropolis chains
- On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
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