Parallel simultaneous perturbation optimization
From MaRDI portal
Publication:5223039
DOI10.1142/S021759591950009XzbMATH Open1418.90181arXiv1704.00223OpenAlexW2964041046MaRDI QIDQ5223039FDOQ5223039
Authors: Atiye Alaeddini, Daniel Klein 
Publication date: 5 July 2019
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Abstract: Stochastic computer simulations enable users to gain new insights into complex physical systems. Optimization is a common problem in this context: users seek to find model inputs that maximize the expected value of an objective function. The objective function, however, is time-intensive to evaluate, and cannot be directly measured. Instead, the stochastic nature of the model means that individual realizations are corrupted by noise. More formally, we consider the problem of optimizing the expected value of an expensive black-box function with continuously-differentiable mean, from which observations are corrupted by Gaussian noise. We present Parallel Simultaneous Perturbation Optimization (PSPO), which extends a well-known stochastic optimization algorithm, simultaneous perturbation stochastic approximation, in several important ways. Our modifications allow the algorithm to fully take advantage of parallel computing resources, like high-performance cloud computing. The resulting PSPO algorithm takes fewer time-consuming iterations to converge, automatically chooses the step size, and can vary the error tolerance by step. Theoretical results are supported by a numerical example. To demonstrate the performance of the algorithm, we implemented the algorithm to maximize the pseudo-likelihood of a stochastic epidemiological model to data of a measles outbreak.
Full work available at URL: https://arxiv.org/abs/1704.00223
Recommendations
- Parallel Bayesian global optimization of expensive functions
- Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation
- scientific article; zbMATH DE number 795177
- Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
- Bayesian Optimization Allowing for Common Random Numbers
Cites Work
- Numerical Optimization
- Acceleration of Stochastic Approximation by Averaging
- A Stochastic Approximation Method
- On the use of stochastic Hessian information in optimization methods for machine learning
- Adaptive stochastic approximation by the simultaneous perturbation method
- Feedback and Weighting Mechanisms for Improving Jacobian Estimates in the Adaptive Simultaneous Perturbation Algorithm
- Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
- Stochastic Estimation of the Maximum of a Regression Function
- Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
- Optimization via simulation: A review
- Efficient Bayesian experimentation using an expected information gain lower bound
Cited In (5)
- Parallel sequential Monte Carlo for stochastic gradient-free nonconvex optimization
- Parallel Shape Optimization of a Missile on a Grid Infrastructure
- Stochastic approximation for expensive one-bit feedback systems
- Parallel Bayesian global optimization of expensive functions
- Parallel optimized sampling for stochastic equations
This page was built for publication: Parallel simultaneous perturbation optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5223039)
