Constrained optimization over discrete sets via SPSA with application to non-separable resource allocation

Author

Whitney, James E., II ; Solomon, Latasha I. ; Hill, Stacy D.

Author_Institution

Dept. of Electr. & Comput. Eng., Morgan State Univ., Baltimore, MD, USA

Volume

1

fYear

2001

fDate

2001

Firstpage

313

Abstract

This paper presents a version of the simultaneous perturbation stochastic approximation (SPSA) algorithm for optimizing non-separable functions over discrete sets under given constraints. The primary motivation for discrete SPSA is to solve a class of resource allocation problems wherein the goal is to distribute a finite number of discrete resources to finitely many users in such a way as to optimize a specified objective function. The basic algorithm and the application of the algorithm to the optimal resource allocation problem is discussed and simulation, results are presented which illustrate its performance

Keywords

optimisation; resource allocation; simulation; stochastic processes; SPSA; constrained optimization; discrete sets; nonseparable resource allocation; optimal resource allocation problem; simulation; simultaneous perturbation stochastic approximation algorithm; Algorithm design and analysis; Analytical models; Application software; Approximation algorithms; Constraint optimization; Noise measurement; Particle measurements; Performance analysis; Resource management; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Simulation Conference, 2001. Proceedings of the Winter

Conference_Location

Arlington, VA

Print_ISBN

0-7803-7307-3

Type

conf

DOI

10.1109/WSC.2001.977292

Filename

977292