56,749 research outputs found

    Stochastic Optimization in Econometric Models – A Comparison of GA, SA and RSG

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    This paper shows that, in case of an econometric model with a high sensitivity to data, using stochastic optimization algorithms is better than using classical gradient techniques. In addition, we showed that the Repetitive Stochastic Guesstimation (RSG) algorithm –invented by Charemza-is closer to Simulated Annealing (SA) than to Genetic Algorithms (GAs), so we produced hybrids between RSG and SA to study their joint behavior. The evaluation of all algorithms involved was performed on a short form of the Romanian macro model, derived from Dobrescu (1996). The subject of optimization was the model’s solution, as function of the initial values (in the first stage) and of the objective functions (in the second stage). We proved that a priori information help “elitist “ algorithms (like RSG and SA) to obtain best results; on the other hand, when one has equal believe concerning the choice among different objective functions, GA gives a straight answer. Analyzing the average related bias of the model’s solution proved the efficiency of the stochastic optimization methods presented.underground economy, Laffer curve, informal activity, fiscal policy, transitionmacroeconomic model, stochastic optimization, evolutionary algorithms, Repetitive Stochastic Guesstimation

    Probabilistic Line Searches for Stochastic Optimization

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    In deterministic optimization, line searches are a standard tool ensuring stability and efficiency. Where only stochastic gradients are available, no direct equivalent has so far been formulated, because uncertain gradients do not allow for a strict sequence of decisions collapsing the search space. We construct a probabilistic line search by combining the structure of existing deterministic methods with notions from Bayesian optimization. Our method retains a Gaussian process surrogate of the univariate optimization objective, and uses a probabilistic belief over the Wolfe conditions to monitor the descent. The algorithm has very low computational cost, and no user-controlled parameters. Experiments show that it effectively removes the need to define a learning rate for stochastic gradient descent.Comment: Extended version of the NIPS '15 conference paper, includes detailed pseudo-code, 59 pages, 35 figure

    A simulated annealing algorithm for router nodes placement problem in Wireless Mesh Networks

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    Mesh router nodes placement is a central problem in Wireless Mesh Networks (WMNs). An efficient placement of mesh router nodes is indispensable for achieving network performance in terms of both network connectivity and user coverage. Unfortunately the problem is computationally hard to solve to optimality even for small deployment areas and a small number of mesh router nodes. As WMNs are becoming an important networking infrastructure for providing cost-efficient broadband wireless connectivity, researchers are paying attention to the resolution of the mesh router placement problem through heuristic approaches in order to achieve near optimal, yet high quality solutions in reasonable time. In this work we propose and evaluate a simulated annealing (SA) approach to placement of mesh router nodes in WMNs. The optimization model uses two maximization objectives, namely, the size of the giant component in the network and user coverage. Both objectives are important to deployment of WMNs; the former is crucial to achieve network connectivity while the later is an indicator of the QoS in WMNs. The SA approach distinguishes for its simplicity yet its policy of neighborhood exploration allows to reach promising areas of the solution space where quality solutions could be found. We have experimentally evaluated the SA algorithm through a benchmark of generated instances, varying from small to large size, and capturing different characteristics of WMNs such as topological placements of mesh clients. The experimental results showed the efficiency of the annealing approach for the placement of mesh router nodes in WMNs.Peer ReviewedPostprint (author's final draft
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