Title :
Optimization over discrete sets via SPSA
Author :
Gerencsér, László ; Hill, Stacy D. ; Vágó, Zsuzsanna
Author_Institution :
Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
Abstract :
A fixed gain version of the simultaneous perturbation stochastic approximation (SPSA) method 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 briefly described
Keywords :
approximation theory; differential equations; iterative methods; optimisation; resource allocation; search problems; stochastic processes; differential equation; function minimization; iterative method; optimization; resource allocation; search problem; simultaneous perturbation stochastic approximation; Automation; Computer errors; Costs; Laboratories; Minimization methods; Noise measurement; Optimization methods; Physics computing; Resource management; Stochastic processes;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.830893
