Accession Number:

AD0759295

Title:

Penalty Function Methods for Constrained Stochastic Approximation,

Descriptive Note:

Corporate Author:

BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Report Date:

1973-04-01

Pagination or Media Count:

21.0

Abstract:

The paper is concerned with sequential Monte Carlo methods for optimizing a system under constraints. The authors wish to minimize fx where q sub i x 2 or O, i 1,...,m, must hold. The q sub i x can be calculated, but fx can only be observed in the presence of noise. A general approach, based on an adaptation of a version of stochastic approximation to the penalty function method, is discussed, and a convergence theorem proved. Author Modified Abstract

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE