Title :
A constrained simultaneous perturbation stochastic approximation algorithm based on penalty functions
Author :
Wang, I-Jeng ; Spall, James C.
Author_Institution :
Appl. Phys. Lab., Johns Hopkins Univ., Laurel, MD, USA
Abstract :
In this paper, we present a stochastic approximation algorithm based on penalty function method and a simultaneous perturbation gradient estimate for solving stochastic optimization problems with general inequality constraints. We also present a very general convergence result for the proposed algorithm
Keywords :
approximation theory; convergence; optimisation; perturbation techniques; constrained simultaneous perturbation stochastic approximation algorithm; convergence; inequality constraints; penalty functions; Algorithm design and analysis; Approximation algorithms; Closed-form solution; Concrete; Constraint optimization; Convergence; Cost function; Laboratories; Physics; Stochastic processes;
Conference_Titel :
American Control Conference, 1999. Proceedings of the 1999
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4990-3
DOI :
10.1109/ACC.1999.782808
