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Stochastic Search and Optimization

by James Spall

 

05 May 2003 (Updated 20 Apr 2006)

Code in support of book Introduction to Stochastic Search and Optimization.

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Description

Introduction to Stochastic Search and Optimization is an overview of the principles, algorithms, and practical aspects of stochastic optimization, including applications drawn from engineering, statistics, and computer science. The book may serve as either a reference book for researchers and practitioners or as a textbook, the latter use being supported by exercises at the end of every chapter and appendix. The text covers a broad range of the most widely used stochastic methods, including:

Random search· Recursive linear estimation· Stochastic approximation· Simulated annealing· Genetic and evolutionary algorithms· Machine (reinforcement) learning· Model selection· Simulation-based optimization· Markov chain Monte Carlo· Optimal experimental design
The MATLAB code here is in support of the book. Additional information on the book and MATLAB code is available at http://www.jhuapl.edu/ISSO/

MATLAB release MATLAB 6.1 (R12.1)
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Comments and Ratings (5)
13 May 2003 chandran Ponnuswamy  
16 May 2003 stacy hill

Given its use with book, I assumed the code was not intended to be production code nor necessarily the most efficient, but rather was designed to meet the pedagogical aims of the book (I also own a copy of the book). The availability of these algorithms provides a valuable learning tool and supplement to the book. Given this objective, the code demonstrates the algorithms covered in the book and appear perfectly suitable for moderate-size problems.

28 Nov 2006 salah eddine  
09 Dec 2006 Erman Ozguven  
29 Oct 2011 Erdal Bizkevelci  
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Updates
31 Mar 2006

Clean up of problem area in code.

20 Apr 2006

Update to two files for second-order (adaptive) estimation: twoSGconstrained.m and twospsaconstrained.m

Tag Activity for this File
Tag Applied By Date/Time
mathematics James Spall 22 Oct 2008 07:01:04
stochastic optimization James Spall 22 Oct 2008 07:01:04
genetic algorithm James Spall 22 Oct 2008 07:01:04
simultaneous perturbation James Spall 22 Oct 2008 07:01:04

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