Title :
Discrete optimization via SPSA
Author :
Gerencsér, László ; Hill, Stacy D. ; Vágó, Zsuzsanna
Author_Institution :
Comput. & Autom. Inst., Hungarian Acad. of Sci., Budapest, Hungary
Abstract :
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
Keywords :
approximation theory; optimisation; Euclidean p-space; SPSA; cost functions; discrete functions; discrete optimization; fixed gain approximation; integer components; resource allocation; simultaneous perturbation stochastic approximation; Automation; Computational modeling; Convergence; Cost function; Laboratories; Noise measurement; Optimization methods; Physics computing; Resource management; Stochastic processes;
Conference_Titel :
American Control Conference, 2001. Proceedings of the 2001
Conference_Location :
Arlington, VA
Print_ISBN :
0-7803-6495-3
DOI :
10.1109/ACC.2001.945937
