Stochastic approximation algorithms for constrained optimization via simulation

DOI10.1145/1921598.1921599zbMath1386.65159OpenAlexW2059984770MaRDI QIDQ4635177

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

zbMATH Keywords

Lagrange multiplierstochastic approximationinequality constraintssimulation-based constrained optimizationsimultaneous perturbation stochastic approximation estimatessmoothed functional estimates

Mathematics Subject Classification ID

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

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Genetic-algorithm-based simulation optimization considering a single stochastic constraint ⋮ A direct search method for unconstrained quantile-based simulation optimization ⋮ Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization ⋮ Variance-constrained actor-critic algorithms for discounted and average reward MDPs ⋮ Sleeping experts and bandits approach to constrained Markov decision processes ⋮ Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization

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