Stochastic approximation algorithms for constrained optimization via simulation

DOI10.1145/1921598.1921599MaRDI QIDQ4635177zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic approximationinequality constraintsLagrange multipliersimulation-based constrained optimizationsimultaneous perturbation stochastic approximation estimatessmoothed functional estimates

Mathematics Subject Classification ID

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

Recommendations

• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
• Simulation-based optimization by new stochastic approximation algorithm
• Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
• Simultaneous perturbation Newton algorithms for simulation optimization

Cited in

(22)

• On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
• 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
• scientific article; zbMATH DE number 1114461 (Why is no real title available?)
• Genetic-algorithm-based simulation optimization considering a single stochastic constraint
• Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization
• A direct search method for unconstrained quantile-based simulation optimization
• Gradient-based simulation optimization under probability constraints
• Simultaneous perturbation Newton algorithms for simulation optimization
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Rapid screening algorithms for stochastically constrained problems
• Sleeping experts and bandits approach to constrained Markov decision processes
• Gradient-Based Simulation Optimization Algorithms via Multi-Resolution System Approximations
• Simulation-based optimization by new stochastic approximation algorithm
• Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization
• Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
• On constrained simulation and optimization by Metropolis chains
• Limit Theorems for Simulation-Based Optimization via Random Search

This page was built for publication: Stochastic approximation algorithms for constrained optimization via simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4635177)