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Stochastic Algorithms for Discrete Parameter Simulation Optimization

Bhatnagar, Shalabh and Mishra, Vivek Kumar and Hemachandra, Nandyala (2011) Stochastic Algorithms for Discrete Parameter Simulation Optimization. In: IEEE Transactions on Automation Science and Engineering, 8 (4). pp. 780-793.

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Abstract

We present two efficient discrete parameter simulation optimization (DPSO) algorithms for the long-run average cost objective. One of these algorithms uses the smoothed functional approximation (SFA) procedure, while the other is based on simultaneous perturbation stochastic approximation (SPSA). The use of SFA for DPSO had not been proposed previously in the literature. Further, both algorithms adopt an interesting technique of random projections that we present here for the first time. We give a proof of convergence of our algorithms. Next, we present detailed numerical experiments on a problem of admission control with dependent service times. We consider two different settings involving parameter sets that have moderate and large sizes, respectively. On the first setting, we also show performance comparisons with the well-studied optimal computing budget allocation (OCBA) algorithm and also the equal allocation algorithm. Note to Practitioners-Even though SPSA and SFA have been devised in the literature for continuous optimization problems, our results indicate that they can be powerful techniques even when they are adapted to discrete optimization settings. OCBA is widely recognized as one of the most powerful methods for discrete optimization when the parameter sets are of small or moderate size. On a setting involving a parameter set of size 100, we observe that when the computing budget is small, both SPSA and OCBA show similar performance and are better in comparison to SFA, however, as the computing budget is increased, SPSA and SFA show better performance than OCBA. Both our algorithms also show good performance when the parameter set has a size of 10(8). SFA is seen to show the best overall performance. Unlike most other DPSO algorithms in the literature, an advantage with our algorithms is that they are easily implementable regardless of the size of the parameter sets and show good performance in both scenarios.

Item Type: Journal Article
Additional Information: Copyright 2011 IEEE. Personal use of this material is permitted.However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
Keywords: Discrete parameter simulation optimization;long-run average cost objective;simultaneous perturbation stochastic approximation;smoothed functional algorithm
Department/Centre: Division of Electrical Sciences > Computer Science & Automation (Formerly, School of Automation)
Date Deposited: 04 Nov 2011 09:44
Last Modified: 04 Nov 2011 09:44
URI: http://eprints.iisc.ernet.in/id/eprint/41828

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