Title :
Constrained optimization over discrete sets via SPSA with application to non-separable resource allocation
Author :
Whitney, James E., II ; Solomon, Latasha I. ; Hill, Stacy D.
Author_Institution :
Dept. of Electr. & Comput. Eng., Morgan State Univ., Baltimore, MD, USA
Abstract :
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 optimize a specified objective function. The basic algorithm and the application of the algorithm to the optimal resource allocation problem is discussed and simulation, results are presented which illustrate its performance
Keywords :
optimisation; resource allocation; simulation; stochastic processes; SPSA; constrained optimization; discrete sets; nonseparable resource allocation; optimal resource allocation problem; simulation; simultaneous perturbation stochastic approximation algorithm; Algorithm design and analysis; Analytical models; Application software; Approximation algorithms; Constraint optimization; Noise measurement; Particle measurements; Performance analysis; Resource management; Stochastic processes;
Conference_Titel :
Simulation Conference, 2001. Proceedings of the Winter
Conference_Location :
Arlington, VA
Print_ISBN :
0-7803-7307-3
DOI :
10.1109/WSC.2001.977292
