The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Optimization of stochastic systems
Abstract
This paper gives a short survey of Monte Carlo algorithms for stochastic optimization. Both discrete and continuous parameter stochastic optimization are discussed, with emphasis on the analysis of convergence rate. Some future research directions for the area are also indicated.
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Citations
Cites
Simulation and the Monte Carlo Method
Rubinstein, R. Y., & Kroese, D. P. (2016) · Wiley Series in Probability and Statistics · doi:10.1002/9781118631980 · Cited by 3,356 · cited 1×
“(See Rubinstein (1981).)”
Stochastic Approximation Methods for Constrained and Unconstrained Systems
Kushner, H. J., & Clark, D. S. (1978) · Applied Mathematical Sciences · doi:10.1007/978-1-4684-9352-8 · Cited by 1,459
Asymptotic Distribution of Stochastic Approximation Procedures
Sacks, J. (1958) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177706619 · Cited by 368
Cited by
Nonlinear Bayesian estimation using Gaussian sum approximations
Alspach, D., & Sorenson, H. (1972) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1972.1100034 · Cited by 1,239
On the Convergence of Stochastic Iterative Dynamic Programming Algorithms
Jaakkola, T., Jordan, M. I., & Singh, S. P. (1994) · Neural Computation · doi:10.1162/neco.1994.6.6.1185 · Cited by 770
Towards a Unifield Foraging Theory
Mangel, M., & Clark, C. W. (1986) · Ecology · doi:10.2307/1938669 · Cited by 542
Optimization via simulation: A review
Fu, M. C. (1994) · Annals of Operations Research · doi:10.1007/bf02136830 · Cited by 417
Capital asset prices with heterogeneous beliefs
Williams, J. T. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90019-8 · Cited by 301
Metadata
- Authors
- Glynn, P. W.
- Venue
- Proceedings of the 18th conference on Winter simulation - WSC '86
- Publisher
- ACM Press
- Published
- 1986
- Pages
- 52-59
- ISSN
- 0891-7736 (ISSN-L)
- OpenAlex
- W2043880592
- Cited by
- 573
- References
- 3
- FWCI
- 43.16
- Type
- conference paper
- Language
- en
- Open access
- closed
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- Glynn, P. W. (1986). Optimization of stochastic systems. Proceedings of the 18th conference on Winter simulation - WSC '86. https://doi.org/10.1145/318242.318260
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
