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Discrete Optimization with Noisy Objective Function Measurements

  1. Stacy D. Hill

Published Online: 7 MAR 2014

DOI: 10.1002/9780470400531.eorms1094

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Hill, S. D. 2014. Discrete Optimization with Noisy Objective Function Measurements. Wiley Encyclopedia of Operations Research and Management Science. 1–14.

Author Information

  1. The Johns Hopkins University, Applied Physics Laboratory, Maryland

Publication History

  1. Published Online: 7 MAR 2014

Abstract

The problem of optimizing noisy objective functions over a discrete set—stochastic discrete optimization—occurs in a wide variety of practical applications. This article gives a general formulation of such optimization problems and indicates some of the diverse applications. It also describes several classes of methods for solving such problems and discusses some of their important features such as expected performance and computational efficiency.

Keywords:

  • discrete stochastic optimization;
  • optimization of noisy objective functions;
  • discrete stochastic approximation