Stochastic comparison algorithm for discrete optimization with estimation

被引：59
|
作者：
Gong, WB [1 ]
Ho, YC
Zhai, WG
机构：
[1] Univ Massachusetts, Dept Elect & Comp Engn, Amherst, MA 01003 USA
[2] Harvard Univ, Div Appl Sci, Cambridge, MA 02138 USA
[3] Ascend Commun Inc, Westford, MA 01886 USA
来源：
SIAM JOURNAL ON OPTIMIZATION | 2000年 / 10卷 / 02期
关键词：
discrete optimization; random search; time-inhomogeneous Markov chain;
D O I：
10.1137/S1052623495290684
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we study a class of discrete optimization problems, where the objective function for a given configuration can be expressed as the expectation of a random variable. In such problems, only samples of the random variables are available for the optimization process. An iterative algorithm called the stochastic comparison (SC) algorithm is developed. The convergence of the SC algorithm is established based on an examination of the quasi-stationary probabilities of a time-inhomogeneous Markov chain. We also present some numerical experiments.
引用
收藏
页码：384 / 404
页数：21
相关论文
共 50 条
  • [31] Discrete stochastic optimization via a modification of the stochastic ruler method
    Alrefaei, MH
    Andradottir, S
    1996 WINTER SIMULATION CONFERENCE PROCEEDINGS, 1996, : 406 - 411
  • [32] A comparison among stochastic optimization algorithms for parameter estimation of biochemical kinetic models
    Da Ros, Simoni
    Colusso, Gabriel
    Weschenfelder, Thiago A.
    Terra, Lisiane de Marsillac
    de Castilhos, Fernanda
    Corazza, Marcos L.
    Schwaab, Marcio
    APPLIED SOFT COMPUTING, 2013, 13 (05) : 2205 - 2214
  • [33] Performance Comparison of Mode Choice Optimization Algorithm with Simulated Discrete Choice Modeling
    Roh, Hyuk-Jae
    Sharma, Satish
    Sahu, Prasanta K.
    Mehran, Babak
    MODELLING AND SIMULATION IN ENGINEERING, 2018, 2018
  • [34] State Estimation of Discrete Stochastic Singular System
    XU Yan\|li Center of High Education
    Journal of Systems Science and Systems Engineering, 2000, (01) : 99 - 103
  • [35] Analyzing the economic water loss level with a discrete stochastic optimization algorithm by considering budget constraints
    Yilmaz, Salih
    Firat, Mahmut
    Ate, Abdullah
    Ozdemir, Ozgur
    AQUA-WATER INFRASTRUCTURE ECOSYSTEMS AND SOCIETY, 2022, 71 (07) : 835 - 848
  • [36] A homogeneous predictor-corrector algorithm for stochastic nonsymmetric convex conic optimization with discrete support
    Alzalg, Baha
    Alabedalhadi, Mohammad
    COMMUNICATIONS IN COMBINATORICS AND OPTIMIZATION, 2023, 8 (03) : 531 - 559
  • [37] Quasi-Newton Stochastic Optimization Algorithm for Parameter Estimation of a Stochastic Model of the Budding Yeast Cell Cycle
    Chen, Minghan
    Amos, Brandon D.
    Watson, Layne T.
    Tyson, John J.
    Cao, Young
    Shaffer, Clifford A.
    Trosset, Michael W.
    Oguz, Cihan
    Kakoti, Gisella
    IEEE-ACM TRANSACTIONS ON COMPUTATIONAL BIOLOGY AND BIOINFORMATICS, 2019, 16 (01) : 301 - 311
  • [38] DOA and Power Estimation Using Genetic Algorithm and Fuzzy Discrete Particle Swarm Optimization
    JiaZhou Liu
    ZhiQin Zhao
    ZiYuan He
    QingHuo Liu
    Journal of Electronic Science and Technology, 2014, 12 (01) : 71 - 75
  • [39] A New Estimation Distributed Algorithm Applied to a Many-Objective Discrete Optimization Problem
    Botelho, Glauber
    Britto, Andre
    Silva, Leila
    PROCEEDINGS OF 2016 5TH BRAZILIAN CONFERENCE ON INTELLIGENT SYSTEMS (BRACIS 2016), 2016, : 415 - 420
  • [40] DOA and Power Estimation Using Genetic Algorithm and Fuzzy Discrete Particle Swarm Optimization
    Jia-Zhou Liu
    Zhi-Qin Zhao
    Zi-Yuan He
    Qing-Huo Liu
    Journal of Electronic Science and Technology, 2014, (01) : 71 - 75
12345