Parallel Simultaneous Perturbation Optimization

DOI10.1142/S021759591950009XzbMath1418.90181arXiv1704.00223OpenAlexW2964041046MaRDI QIDQ5223039

Daniel Klein, Atiye Alaeddini

Publication date: 5 July 2019

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.00223

zbMATH Keywords

stochastic optimizationparallel computingsimultaneous perturbationsecond-order algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• Optimization via simulation: A review
• Adaptive stochastic approximation by the simultaneous perturbation method
• On the Use of Stochastic Hessian Information in Optimization Methods for Machine Learning
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Acceleration of Stochastic Approximation by Averaging
• Numerical Optimization
• Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
• Feedback and Weighting Mechanisms for Improving Jacobian Estimates in the Adaptive Simultaneous Perturbation Algorithm
• Efficient Bayesian Experimentation Using an Expected Information Gain Lower Bound
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method

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