Research Reports from the Department of Operations
A Frequency Domain Step Size Estimation Procedure for Path Search Simulation Optimization Algorithms
Document Type
Report
Publication Date
1-5-2015
Abstract
A frequency domain approach for step size estimation in path search simulation optimization algorithms is presented. The approach is based on Newton's method. Computational comparisons with stochastic approximation step sizes are included which indicate that the two methods can be effectively used together. The frequency domain approach can be used first to efficiently move into a neighborhood of the local optima; stochastic approximation can then improve the accuracy of the estimated optima. [Published circa 1998-1990.]
Keywords
Operations research, Mathematical optimization, Numerical analysis, Newton-Raphson method, Stochastic approximation
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 679
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Jacobson, Sheldon H. and Schruben, Lee W., "A Frequency Domain Step Size Estimation Procedure for Path Search Simulation Optimization Algorithms" (2015). Research Reports from the Department of Operations. 217.
https://commons.case.edu/wsom-ops-reports/217
