Optimization over discrete sets via SPSA

Optimization over discrete sets via SPSA

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 Z/sup p/, the grid of points in R/sup p/ with integer components....

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Gerencser, L., Hill, S.D., Vago, Z.
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Automation
Computer errors
Costs
Laboratories
Minimization methods
Noise measurement
Optimization methods
Physics computing
Resource management
Stochastic processes
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Beschreibung
Zusammenfassung: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 Z/sup p/, the grid of points in R/sup p/ with integer components. Simulation results and a closely related application, a resource allocation problem, is briefly described.
ISSN:0191-2216
DOI:10.1109/CDC.1999.830893