An Asymptotically Optimal Set Approach for Simulation Optimization

DOI10.1287/ijoc.2018.0811OpenAlexW2905049776WikidataQ128777768 ScholiaQ128777768MaRDI QIDQ5137434

Sigrún Andradóttir, Liujia Hu

Publication date: 2 December 2020

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2018.0811

zbMATH Keywords

stochastic optimizationresamplingadaptive searchdiscardingglobal convergence with probability one

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

Adaptive sampling line search for local stochastic optimization with integer variables

Uses Software

• COMPASS
• R-SPLINE

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A model reference adaptive search method for stochastic global optimization
• The Sample Average Approximation Method for Stochastic Discrete Optimization
• Balanced Explorative and Exploitative Search with Estimation for Simulation Optimization
• A Simulated Annealing Algorithm with Constant Temperature for Discrete Stochastic Optimization
• A Model Reference Adaptive Search Method for Global Optimization
• Adaptive random search for continuous simulation optimization
• Lectures on Stochastic Programming
• Robust Stochastic Approximation Approach to Stochastic Programming
• Acceleration of Stochastic Approximation by Averaging
• Stochastic Discrete Optimization
• Introduction to Stochastic Search and Optimization
• Stochastic Comparison Algorithm for Discrete Optimization with Estimation
• Simulation optimization with countably infinite feasible regions
• A framework for locally convergent random-search algorithms for discrete optimization via simulation
• Accelerating the convergence of random search methods for discrete stochastic optimization
• Integer-Ordered Simulation Optimization using R-SPLINE
• Discrete stochastic optimization using variants of the stochastic ruler method
• A Globally Convergent Stochastic Approximation
• Random Search in the Presence of Noise, with Application to Machine Learning
• Analysis of Sample-Path Optimization
• Convergence Analysis of Stochastic Algorithms
• A Stochastic Approximation Algorithm with Varying Bounds
• A Stochastic Approximation Method
• Nested partitions method for stochastic optimization
• A modification of the stochastic ruler method for discrete stochastic optimization

This page was built for publication: An Asymptotically Optimal Set Approach for Simulation Optimization