Optimization of stochastic systems

ABSTRACT

This paper gives a short survey of Monte Carlo algorithms for stochastic optimization. Both discrete and continuous parameter stochastic optimization are discussed, with emphasis on the analysis of convergence rate. Some future research directions for the area are also indicated.

REFERENCES

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INDEX TERMS

Primary Classification:
  A. General Literature

Additional Classification:
  G. Mathematics of Computing
  G.1 NUMERICAL ANALYSIS
      G.1.6 Optimization
          Subjects: Stochastic programming
  G.3 PROBABILITY AND STATISTICS
      Subjects: Stochastic processes

  I. Computing Methodologies
  I.6 SIMULATION AND MODELING
      I.6.8 Types of Simulation
          Subjects: Monte Carlo

General Terms:
Algorithms, Design, Performance, Theory