Title :
Optimization over discrete sets via SPSA
Author :
Gerencsér, László ; Hill, Stacy D. ; Vago, Zsuzsanna
Author_Institution :
Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
fDate :
6/21/1905 12:00:00 AM
Abstract :
A fixed gain version of the SPSA (simultaneous perturbation stochastic approximation) method (J.C. Spall, 1992) for function minimization is developed and the error process is characterized. The new procedure is applicable to optimization problems over 𝒵p ., the grid of points in ℛp with integer components. Simulation results and a closely related application, a resource allocation problem, is also described
Keywords :
minimisation; resource allocation; search problems; set theory; simulation; stochastic processes; SPSA; discrete sets; error process; fixed gain version; function minimization; integer components; optimization problems; resource allocation problem; simulation results; simultaneous perturbation stochastic approximation; Automation; Computer errors; Convergence; Cost function; Laboratories; Minimization methods; Noise measurement; Physics computing; Resource management; Stochastic processes;
Conference_Titel :
Simulation Conference Proceedings, 1999 Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5780-9
DOI :
10.1109/WSC.1999.823111
