IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers

  • Nathan L. Kleinman

    (Options and Choices, Inc. (OCI), 2232 Dell Range Blvd., Suite 300, Cheyenne, Wyoming 82009)

  • James C. Spall

    (The Johns Hopkins University Applied Physics Laboratory, Johns Hopkins Road, Laurel, Maryland 20723)

  • Daniel Q. Naiman

    (The Johns Hopkins University Department of Mathematical Sciences, Baltimore, Maryland 21218)

Registered author(s):

    The method of Common Random Numbers is a technique used to reduce the variance of difference estimates in simulation optimization problems. These differences are commonly used to estimate gradients of objective functions as part of the process of determining optimal values for parameters of a simulated system. Asymptotic results exist which show that using the Common Random Numbers method in the iterative Finite Difference Stochastic Approximation optimization algorithm (FDSA) can increase the optimal rate of convergence of the algorithm from the typical rate of k -1/3 to the faster k -1/2 , where k is the algorithm's iteration number. Simultaneous Perturbation Stochastic Approximation (SPSA) is a newer and often much more efficient optimization algorithm, and we will show that this algorithm, too, converges faster when the Common Random Numbers method is used. We will also provide multivariate asymptotic covariance matrices for both the SPSA and FDSA errors.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://dx.doi.org/10.1287/mnsc.45.11.1570
    Download Restriction: no

    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 45 (1999)
    Issue (Month): 11 (November)
    Pages: 1570-1578

    as
    in new window

    Handle: RePEc:inm:ormnsc:v:45:y:1999:i:11:p:1570-1578
    Contact details of provider: Postal: 7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA
    Phone: +1-443-757-3500
    Fax: 443-757-3515
    Web page: http://www.informs.org/
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:45:y:1999:i:11:p:1570-1578. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.