Multidimensional stochastic approximation-Reference-Cited by-同舟云学术

Multidimensional stochastic approximation

Published:2014-01 Issue:1 Volume:24 Page:1-28
ISSN:1049-3301
Container-title:ACM Transactions on Modeling and Computer Simulation
language:en
Short-container-title:ACM Trans. Model. Comput. Simul.

Author:

Broadie Mark¹,Cicek Deniz M.¹,Zeevi Assaf¹

Affiliation:

1. Columbia University

Abstract

We consider prototypical sequential stochastic optimization methods of Robbins-Monro (RM), Kiefer-Wolfowitz (KW), and Simultaneous Perturbations Stochastic Approximation (SPSA) varieties and propose adaptive modifications for multidimensional applications. These adaptive versions dynamically scale and shift the tuning sequences to better match the characteristics of the unknown underlying function, as well as the noise level. We test our algorithms on a variety of representative applications in inventory management, health care, revenue management, supply chain management, financial engineering, and queueing theory.

Funder

Division of Mathematical Sciences

National Science Foundation

Publisher

Association for Computing Machinery (ACM)

Subject

Computer Science Applications,Modeling and Simulation

Link

https://dl.acm.org/doi/pdf/10.1145/2553085

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