Two-Stage Nested Partitions Method for Stochastic Optimization

被引：0
|
作者：
Sigurdur Ólafsson
机构：
[1] Iowa State University,Department of Industrial Engineering
来源：
Methodology And Computing In Applied Probability | 2004年 / 6卷
关键词：
stochastic optimization; statistical selection; random search; simulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We address the problem of optimizing over a large but finite set when the objective function does not have an analytical expression and is evaluated using noisy estimation. Building on the recently proposed nested partitions method for stochastic optimization, we develop a new approach that combines this random search method and statistical selection for guiding the search. We prove asymptotic convergence and analyze the finite time behavior of the new approach. We also report extensive numerical results to illustrate the benefits of the new approach.
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页码：5 / 27
页数：22
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