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Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers
10 references·12 citing·31 second hop
Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers (1999)Simulation-Based Optimization with Stocha…Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation (1998)Optimal random perturbations …Comparative study of stochastic algorithms for system optimization based on gradient approximations (1997)Comparative study of stochast…On the Convergence Rates of IPA and FDC Derivative Estimators (1994)On the Convergence Rates of I…Some Guidelines and Guarantees for Common Random Numbers (1992)Some Guidelines and Guarantee…Multivariate stochastic approximation using a simultaneous perturbation gradient approximation (1992)Multivariate stochastic appro…A Stochastic Approximation Technique for Generating Maximum Likelihood Parameter Estimates (1987)A Stochastic Approximation Te…Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…On Asymptotic Normality in Stochastic Approximation (1968)On Asymptotic Normality in St…Stochastic Estimation of the Maximum of a Regression Function (1952)Stochastic Estimation of the …A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Bandit Convex Optimization with Biased Noisy Gradient Oracles (2017)Bandit Convex Optimization wi…(Bandit) Convex Optimization with Biased Noisy Gradient Oracles (2016)(Bandit) Convex Optimization …Adaptive importance sampling for optimization under uncertainty problems (2014)Adaptive importance sampling …Simulation Optimization: A Review on Theory and Applications (2013)Simulation Optimization: A Re…Stochastic subset optimization incorporating moving least squares response surface methodologies for stochastic sampling (2011)Stochastic subset optimizatio…Reliability-Based Design Using Two-Stage Stochastic Optimization with a Treatment of Model Prediction Errors (2010)Reliability-Based Design Usin…Stochastic System Design and Applications to Stochastically Robust Structural Control (2007)Stochastic System Design and …Selection Procedures with Frequentist Expected Opportunity Cost Bounds (2005)Selection Procedures with Fre…Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization (2005)Adaptive multivariate three-t…Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences (2003)Two-timescale simultaneous pe…Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization (2003)Convergence of simultaneous p…Stochastic optimization and the simultaneous perturbation method (1999)Stochastic optimization and t…A guide to simulation (2nd ed.) (1986)A Unified View of the IPA, SF, and LR Gradient Estimation Techniques (1990)Gradient Estimation via Perturbation Analysis (1991)Calculation of confidence intervals for simulation output (2004)Efficiency improvement and variance reduction (2005)Stochastic Gradient Estimation (2014)Multidimensional Stochastic Approximation Methods (1954)Accelerated Stochastic Approximation (1958)Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation (1997)Theory of optimal experiments (1972)Theory of Optimal Experiments. (1972)Stochastic approximation: a survey (2009)Investigating the quality of Spiess-like and SPSA approaches for dynamic OD matrix estimation (2020)Acyclic fork-join queuing networks (1989)Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State (1994)Cold supply chain design with environmental considerations: A simulation-optimization approach (2015)Some aspects of the sequential design of experiments (1952)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)Acceleration of Stochastic Approximation by Averaging (1992)Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)A Biometrics Invited Paper. A Review of Response Surface Methodology from a Biometric Viewpoint (1975)Adaptive Design and Stochastic Approximation (1979)A one-measurement form of simultaneous perturbation stochastic approximation (1997)Implementation of the simultaneous perturbation algorithm for stochastic optimization (1998)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Simulation optimization: a review of algorithms and applications (2015)Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization (2007)Global Random Optimization by Simultaneous Perturbation Stochastic Approximation (2008)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)
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References

  • 1951A Stochastic Approximation Method9,630 cited
  • 1992Multivariate stochastic approximation using a simultaneous perturbation gradient approximation2,282 cited
  • 1952Stochastic Estimation of the Maximum of a Regression Function2,134 cited
  • 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
  • 1968On Asymptotic Normality in Stochastic Approximation312 cited
  • 1992Some Guidelines and Guarantees for Common Random Numbers185 cited
  • 1987A Stochastic Approximation Technique for Generating Maximum Likelihood Parameter Estimates160 cited
  • 1997Comparative study of stochastic algorithms for system optimization based on gradient approximations135 cited
  • 1998Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation129 cited
  • 1994On the Convergence Rates of IPA and FDC Derivative Estimators100 cited

Cited by

  • 2003Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences90 cited
  • 2005Adaptive multivariate three-timescale stochastic approximation algorithms for simulation based optimization70 cited
  • 2003Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization68 cited
  • 2017Bandit Convex Optimization with Biased Noisy Gradient Oracles

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62 cited
  • 2013Simulation Optimization: A Review on Theory and Applications45 cited
  • 2005Selection Procedures with Frequentist Expected Opportunity Cost Bounds41 cited
  • 1999Stochastic optimization and the simultaneous perturbation method40 cited
  • 2016(Bandit) Convex Optimization with Biased Noisy Gradient Oracles38 cited
  • 2014Adaptive importance sampling for optimization under uncertainty problems30 cited
  • 2010Reliability-Based Design Using Two-Stage Stochastic Optimization with a Treatment of Model Prediction Errors28 cited
  • 2011Stochastic subset optimization incorporating moving least squares response surface methodologies for stochastic sampling26 cited
  • 2007Stochastic System Design and Applications to Stochastically Robust Structural Control13 cited