NDLI: Stochastic approximation algorithms for constrained optimization via simulation

Content Provider	ACM Digital Library
Author	Bhatnagar, Shalabh Mishra, Vivek Kumar Hemachandra, N.
Copyright Year	2011
Abstract	We develop four algorithms for simulation-based optimization under multiple inequality constraints. Both the cost and the constraint functions are considered to be long-run averages of certain state-dependent single-stage functions. We pose the problem in the simulation optimization framework by using the Lagrange multiplier method. Two of our algorithms estimate only the gradient of the Lagrangian, while the other two estimate both the gradient and the Hessian of it. In the process, we also develop various new estimators for the gradient and Hessian. All our algorithms use two simulations each. Two of these algorithms are based on the smoothed functional (SF) technique, while the other two are based on the simultaneous perturbation stochastic approximation (SPSA) method. We prove the convergence of our algorithms and show numerical experiments on a setting involving an open Jackson network. The Newton-based SF algorithm is seen to show the best overall performance.
Starting Page	1
Ending Page	22
Page Count	22
File Format	PDF
ISSN	10493301
e-ISSN	15581195
DOI	10.1145/1921598.1921599
Volume Number	21
Issue Number	3
Journal	ACM Transactions on Modeling and Computer Simulation (TOMACS)
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2011-02-04
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Lagrange multiplier SF estimates SPSA estimates Simulation-based constrained optimization Inequality constraints Stochastic approximation
Content Type	Text
Resource Type	Article
Subject	Computer Science Applications Modeling and Simulation

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
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