Irina S Dolinskaya

A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling

  • Irina S Dolinskaya
  • Alvaro Maggiar
  • Jeremy Staum
  • Andreas Wächter
    • Categories Nonlinear Optimization

    In this paper we consider the optimization of a functional $F$ defined as the co nvolution of a function $f$ with a Gaussian kernel. We propose this type of objective function for the optimization of the output of complex computational simulations, which often present some form of deterministic noise and need to be smoothed for … Read more

    Parameter-free Sampled Fictitious Play for Solving Deterministic Dynamic Programming Problems

  • Irina S Dolinskaya
  • Marina A. Epelman
  • Esra Sisikoglu
  • Robert L. Smith
    • Categories Dynamic Programming, Network Optimization, Transportation Tags , ,

    To facilitate fast solution of deterministic dynamic programming problems, we present a parameter-free variation of the Sampled Fictitious Play (SFP) algorithm. Its random tie-braking procedure imparts a natural randomness to the algorithm which prevents it from “getting stuck” at a local optimal solution and allows the discovery of an optimal path in a finite number … Read more