Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions

International Journal of Control

Volumn 81, Issue 8, 2008, Pages 1232-1238

  Wang, I Jeng ^a   Spall, James C ^a  

^a JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

Inequality constraint; Simultaneous perturbation; Stochastic optimisation

Indexed keywords

APPROXIMATION ALGORITHMS; APPROXIMATION THEORY; BOOLEAN FUNCTIONS; PERTURBATION TECHNIQUES; STOCHASTIC PROGRAMMING;

ASYMPTOTIC NORMALITY; AUGMENTED LAGRANGIAN; CONVERGENCE (MATHEMATICS); GENERAL (CO); GENERAL INEQUALITY CONSTRAINTS; INEQUALITY CONSTRAINTS; NUMERICA L RESULTS; OPTIMISATION; PENALTY FUNCTION METHODS; PENALTY FUNCTIONS; QUADRATIC PENALTY FUNCTION; SIMULTANEOUS PERTURBATION; STOCHASTIC APPROXIMATION (SPSA) ALGORITHM;

FUNCTION EVALUATION;

EID: 46149105715     PISSN: 00207179     EISSN: 13665820     Source Type: Journal    
DOI: 10.1080/00207170701611123     Document Type: Article

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