Discrete Optimization via SPSA
نویسنده
چکیده
We consider the use of a fixed gain version of SPSA (simultaneous perturbation stochastic approximation) for optimizing a class of discrete functions. The procedure has been modified to obtain an optimization method that is applicable to cost functions defined on a grid of points in Euclidean p-space having integer components. We discuss some related results on fixed gain SPSA and describe an application of the method to a resource allocation problem.
منابع مشابه
2001: Constrained Optimization over Discrete Sets via Spsa with Application to Non-separable Resource Allocation
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 o...
متن کاملGlobal Optimization via SPSA
A desire with iterative optimization techniques is that the algorithm reaches the global optimum rather than get stranded at a local optimum value. In this paper, we examine the theoretical and numerical global convergence properties of a certain “gradient free” stochastic approximation algorithm called “SPSA,” that has performed well in complex optimization problems. We establish two theorems ...
متن کاملRobust parameter design optimization of simulation experiments using stochastic perturbation methods
Stochastic perturbation methods can be applied to problems for which either the objective function is represented analytically, or the objective function is the result of a simulation experiment. The Simultaneous Perturbation Stochastic Approximation (SPSA) method has the advantage over similar methods of requiring only 2 measurements at each iteration of the search. This feature makes SPSA att...
متن کاملA Stochastic Perturbation Algorithm for Inventory Optimization in Supply Chains
In recent years, simulation optimization has attracted a great deal of attention because simulation can model the real systems in fidelity and capture complex dynamics. Among numerous simulation optimization algorithms, Simultaneous Perturbation Stochastic Approximation (SPSA) algorithm is an attractive approach because of its simplicity and efficiency. Although SPSA has been applied in several...
متن کاملApplication of Simultaneous Perturbation Stochastic Approximation Method for Aerodynamic Shape Design Optimization
Aerodynamic shape design optimization problems, such as inverse and constrained airfoil design and axisymmetric nozzle design, are investigated by applying the simultaneous perturbation stochastic approximation (SPSA) method to objective functions that are estimated during each design iteration using a finite volume computational fluid dynamics technique for solving the compressible Navier–Stok...
متن کامل