Algorithm 1007-Reference-Cited by-同舟云学术

Algorithm 1007

Published:2020-06-11 Issue:2 Volume:46 Page:1-20
ISSN:0098-3500
Container-title:ACM Transactions on Mathematical Software
language:en
Short-container-title:ACM Trans. Math. Softw.

Author:

Amos Brandon D.¹,Easterling David R.¹,Watson Layne T.¹,Thacker William I.²,Castle Brent S.³,Trosset Michael W.³

Affiliation:

1. Virginia Polytechnic Institute and State University, Blacksburg, VA

2. Winthrop University, Rock Hill, SC

3. Indiana University, Bloomington, IN

Abstract

QNSTOP consists of serial and parallel (OpenMP) Fortran 2003 codes for the quasi-Newton stochastic optimization method of Castle and Trosset for stochastic search problems. A complete description of QNSTOP for both local search with stochastic objective and global search with “noisy” deterministic objective is given here, to the best of our knowledge, for the first time. For stochastic search problems, some convergence theory exists for particular algorithmic choices and parameter values. Both the parallel driver subroutine, which offers several parallel decomposition strategies, and the serial driver subroutine can be used for local stochastic search or global deterministic search, based on an input switch. Some performance data for computational systems biology problems is given.

Funder

Air Force Research Laboratory

Air ForceOffice of Scientific Research

Publisher

Association for Computing Machinery (ACM)

Subject

Applied Mathematics,Software

Link

https://dl.acm.org/doi/pdf/10.1145/3374219

Reference47 articles.

1. J. R. Birge and F. Louveaux. 2011. Introduction to Stochastic Programming (2nd ed.). Springer New York NY. J. R. Birge and F. Louveaux. 2011. Introduction to Stochastic Programming (2nd ed.). Springer New York NY.

2. Multidimensional Stochastic Approximation Methods

3. Multi-factor experimental designs for exploring response surfaces;Box G. E. P.;Annals of Mathematical Sciences,1957

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