Nested Partitions Method for Stochastic Optimization

被引：0
|
作者：
Leyuan Shi
Sigurdur O´lafsson
机构：
[1] University of Wisconsin–Madison,Department of Industrial Engineering
[2] Iowa State University,Department of Industrial and Manufacturing Systems Engineering
来源：
Methodology And Computing In Applied Probability | 2000年 / 2卷 / 3期
关键词：
simulation-based optimization; combinatorial optimization; Markov chain Monte Carlo.;
D O I：
10.1023/A:1010081212560
中图分类号：
学科分类号：
摘要：
The nested partitions (NP) method is a recently proposed new alternative for global optimization. Primarily aimed at problems with large but finite feasible regions, the method employs a global sampling strategy that is continuously adapted via a partitioning of the feasible region. In this paper we adapt the original NP method to stochastic optimization where the performance is estimated using simulation. We prove asymptotic convergence of the new method and present a numerical example to illustrate its potential.
引用
收藏
页码：271 / 291
页数：20
相关论文
共 50 条
  • [21] Stochastic Nested Variance Reduction for Nonconvex Optimization
    Zhou, Dongruo
    Xu, Pan
    Gu, Quanquan
    JOURNAL OF MACHINE LEARNING RESEARCH, 2020, 21
  • [22] Stochastic Nested Variance Reduction for Nonconvex Optimization
    Zhou, Dongruo
    Xu, Pan
    Gu, Quanquan
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 31 (NIPS 2018), 2018, 31
  • [23] On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
    Ta, Thuy Anh
    Mai, Tien
    Bastin, Fabian
    L'Ecuyer, Pierre
    MATHEMATICAL PROGRAMMING, 2021, 190 (1-2) : 1 - 37
  • [24] On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
    Thuy Anh Ta
    Tien Mai
    Fabian Bastin
    Pierre L’Ecuyer
    Mathematical Programming, 2021, 190 : 1 - 37
  • [25] ENUMERATING NESTED AND CONSECUTIVE PARTITIONS
    HWANG, FK
    MALLOWS, CL
    JOURNAL OF COMBINATORIAL THEORY SERIES A, 1995, 70 (02) : 323 - 333
  • [26] MULTILEVEL STOCHASTIC GRADIENT METHODS FOR NESTED COMPOSITION OPTIMIZATION
    Yang, Shuoguang
    Wang, Mengdi
    Fang, Ethan X.
    SIAM JOURNAL ON OPTIMIZATION, 2019, 29 (01) : 616 - 659
  • [27] Optimal methods for convex nested stochastic composite optimization
    Zhang, Zhe
    Lan, Guanghui
    MATHEMATICAL PROGRAMMING, 2024,
  • [28] Stochastic Optimization of Economic Dispatch With Wind and Photovoltaic Energy Using the Nested Sparse Grid-Based Stochastic Collocation Method
    Lu, Zhilin
    Liu, Mingbo
    Lu, Wentian
    Deng, Zhuoming
    IEEE ACCESS, 2019, 7 : 91827 - 91837
  • [29] A nested partitions framework for beam angle optimization in intensity-modulated radiation therapy
    D'Souza, Warren D.
    Zhang, Hao H.
    Nazareth, Daryl P.
    Shi, Leyuan
    Meyer, Robert R.
    PHYSICS IN MEDICINE AND BIOLOGY, 2008, 53 (12): : 3293 - 3307
  • [30] An improved nested partitions algorithm based on simulated annealing in complex decision problem optimization
    Luo, Yan
    Yu, Changrui
    ADVANCED INTELLIGENT COMPUTING THEORIES AND APPLICATIONS, PROCEEDINGS: WITH ASPECTS OF ARTIFICIAL INTELLIGENCE, 2007, 4682 : 572 - 583
12345