Title :
An adaptive multidimensional version of the Kiefer-Wolfowitz stochastic approximation algorithm
Author :
Broadie, Mark ; Cicek, Deniz M. ; Zeevi, Assaf
Author_Institution :
Grad. Sch. of Bus., Columbia Univ., New York, NY, USA
Abstract :
We extend the scaled-and-shifted Kiefer-Wolfowitz (SSKW) algorithm developed by Broadie, Cicek, and Zeevi (2009) to multiple dimensions. The salient feature of this algorithm is that it makes adjustments of the tuning parameters that adapt to the underlying problem characteristics. We compare the performance of this algorithm to the traditional Kiefer-Wolfowitz (KW) one and observe significant improvement in the finite-time performance on some stylized test functions and a multidimensional newsvendor problem.
Keywords :
adaptive systems; approximation theory; multidimensional systems; simulation; stochastic processes; stochastic programming; Kiefer-Wolfowitz stochastic approximation algorithm; adaptive multidimensional version; finite time performance; multidimensional newsvendor problem; scaled-and-shifted Kiefer-Wolfowitz algorithm; tuning parameter adjustment; Algorithm design and analysis; Analytical models; Approximation algorithms; Computational modeling; Convergence; Finite difference methods; Multidimensional systems; Performance analysis; Stochastic processes; Testing;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-5770-0
DOI :
10.1109/WSC.2009.5429708
