Loading...
Please wait, while we are loading the content...
Similar Documents
An adaptive multidimensional version of the kiefer-wolfowitz stochastic approximation algorithm.
| Content Provider | CiteSeerX |
|---|---|
| Author | Rossetti, M. D. Hill, R. R. Johansson, B. Dunkin, A. Ingalls, R. G. Broadie, Mark Cicek, Deniz M. Zeevi, Assaf |
| Abstract | We extend the scaled-and-shifted Kiefer-Wolfowitz (SSKW) algorithm developed by Broadie, Cicek, and Zeevi (2009) to multiple dimensions. The salient feature of this algorithm is that it makes adjustments of the tuning parameters that adapt to the underlying problem characteristics. We compare the performance of this algorithm to the traditional Kiefer-Wolfowitz (KW) one and observe significant improvement in the finite-time performance on some stylized test functions and a multidimensional newsvendor problem. 1 |
| File Format | |
| Access Restriction | Open |
| Subject Keyword | Kiefer-wolfowitz Stochastic Approximation Algorithm Adaptive Multidimensional Version Significant Improvement Multiple Dimension Salient Feature Scaled-and-shifted Kiefer-wolfowitz Problem Characteristic Stylized Test Function Finite-time Performance Multidimensional Newsvendor Problem Traditional Kiefer-wolfowitz |
| Content Type | Text |
