Optimization over discrete sets via SPSA

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Optimization over discrete sets via SPSA

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Winter Simulation Conference archive
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1 table of contents

Phoenix, Arizona, United States

Pages: 466 - 470

Year of Publication: 1999

ISBN:0-7803-5780-9

Authors

László Gerencsér	Computer and Automation Institute, Hungarian Academy of Sciences, Kende 13-17, Budapest, 1111, Hungary
Stacy D. Hill	Applied Physics Laboratory, John Hopkins University, Laurel, MD
Zsuzsanna Vágó	Computer and Automation Institute, Hungarian Academy of Sciences, Kende 13-17, Budapest 1111, Hungary

Sponsors

ACM: Association for Computing Machinery
SIGSIM: ACM Special Interest Group on Simulation and Modeling

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 4, Downloads (12 Months): 20, Citation Count: 3

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references cited by index terms collaborative colleagues

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REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	Vivek S. Borkar, Asynchronous Stochastic Approximations, SIAM Journal on Control and Optimization, v.36 n.3, p.840-851, May 1998 [doi>10.1137/S0363012995282784]
	2	Cassandras, C. G., Dai, L., and Panayiotou, C. G. Ordinal optimization for a class of deterministic and stochastic discrete resource allocation problems. IEEE Trans. Auto. Contr., 43(7):881-900, 1998.
	3	Cassandras, C. G., and Julka, V. Scheduling policies using marked/phantom slot algorithms. Queueing Systems: Theory and Appl., 20:207-254, 1995.
	4	Chen, H. F., Duncan, T. E., and Pasik-Duncan, B. A stochas-tic approximation algorithm with random differences. In J. Gertler, J. B. Cruz, and M. Peshkin, editors, Pro-ceedings of the 13th Triennial IFAC World Congress, San Francisco, USA, pages 493-496, 1996. Volume editors: R. Bitmead, J. Petersen, H. F. Chen and G. Picci.
	5	James N. Eagle , James R. Yee, An optimal branch-and-bound procedure for the constrained path, moving target search problem, Operations Research, v.38 n.1, p.110-114, Jan–Feb. 1990 [doi>10.1287/opre.38.1.110]
	6	Fox, L. Two-point boundary problems in ordinary differen-tial equations. Oxford at the Clarendon Press, 1957.
	7	Gerencs~ er, L. On fixed gain recursive estimation processes. J. of Mathematical Systems, Estimation and Control, 6:355-358, 1996. Retrieval code for full electronic manuscript: 56854.
	8	Gerencs~ er, L. SPSA with state-dependent noise-a tool for di-rect adaptive control. In Proceedings of the Conference on Decision and Control, CDC 37. IEEE, 1998.
	9	Gerencs~ er, L. Rate of convergence of moments for a simul-taneous perturbation stochastic approximation method for function minimization. IEEE Trans. Automat. Contr., 44:894-906, 1999.
	10	Kushner, H. J. Approximation and Weak Convergence Meth-ods for Random Processes. MIT Press, 1984.
	11	Kushner, H. J. and Yin, G. Stochastic Approximation Algo-rithms and Applications. Springer Verlag. New York, 1997.
	12	Spall, J. C. Multivariate stochastic approximation using a simultaneous perturbation gradient approximation. IEEE Trans. Automat. Contr., 37:332-341, 1992.
	13	Spall, J. C. Accelerated second-order stochastic approxima-tion algorithm using only function measurements. In Proceedings of the 1997 IEEE CDC, pages 1417-1424, 1997.
	14	Spall, J. C. Adaptive stochastic approximation by the si-multaneous perturbation method. In Proceedings of the 1998 IEEE CDC, pages 3872-3879, 1998.

CITED BY 3

	Levente Kocsis , Csaba Szepesvári, Universal parameter optimisation in games based on SPSA, Machine Learning, v.63 n.3, p.249-286, June 2006
	L. Jeff Hong, Discrete optimization via simulation using coordinate search, Proceedings of the 37th conference on Winter simulation, December 04-07, 2005, Orlando, Florida
	Otis Brooks, Solving discrete resource allocation problems using the Simultaneous Perturbation Stochastic Approximation (SPSA) algorithm, Proceedings of the 2007 spring simulation multiconference, March 25-29, 2007, Norfolk, Virginia