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Further information:
James C. Spall
Johns Hopkins University
Applied Physics Laboratory
11100 Johns Hopkins Rd.
Laurel, MD 20723-6099
USA
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Introductory
Articles
If
you do not have Acrobat reader, please download the free reader.
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Surveys
of selected issues in stochastic optimization
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| Spall,
J. C. (1999), |
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"Stochastic
Optimization: Stochastic Approximation and Simulated Annealing,"
in Encyclopedia of Electrical and Electronics
Engineering (J. G. Webster, ed.), Wiley, New York, vol.
20, pp. 529–542 (this article focuses on stochastic approximation and simulated annealing).
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| Spall, J. C. (2012), |
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"Stochastic Optimization,"
in Handbook of Computational Statistics:Concepts and Methods (2nd edition) (J. Gentle, W. Härdle, and Y. Mori, eds.), Springer-Verlag,
Heidelberg, Chapter 7, pp. 173–201 (this article focuses on random search, stochastic approximation, and genetic algorithms). |
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Introduction to SPSA
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Spall,
J. C. (1998),
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"An
Overview of the Simultaneous Perturbation Method for Efficient
Optimization,"
Johns Hopkins APL Technical Digest,
vol. 19(4), pp. 482–492.
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Related Book
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Spall,
J. C. (2003),
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Introduction
to Stochastic Search and Optimization: Estimation,
Simulation, and Control,
Wiley, Hoboken, NJ. |
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