Root Finding via DARTS: Dynamic Adaptive Random Target Shooting. Pasupathy, R. & Schmeiser, B. W. In B.~Johansson, S.~Jain, J.~Montoya-Torres, J.~Hugan, & E.~Yücesan, editors, *Proceedings of the 2010 Winter Simulation Conference*, pages 1255–1262, Piscataway, NJ, 2010. Institute of Electrical and Electronics Engineers, Inc..

Paper abstract bibtex

Paper abstract bibtex

Consider multi-dimensional root finding when the equations are available only implicitly via a Monte Carlo simulation oracle that for any solution returns a vector of point estimates. We develop DARTS, a stochastic-approximation algorithm that makes quasi-Newton moves to a new solution whenever the current sample size is large compared to the estimated quality of the current solution and estimated sampling error. We show that DARTS converges in a certain precise sense, and discuss reasons to expect substantial computational efficiencies over traditional stochastic approximation variations.

@inproceedings{2010passchAWSC, author = {R. Pasupathy and B. W. Schmeiser}, title = {Root Finding via DARTS: Dynamic Adaptive Random Target Shooting}, booktitle = {Proceedings of the 2010 Winter Simulation Conference}, Publisher = {Institute of Electrical and Electronics Engineers, Inc.}, Address = {Piscataway, NJ}, Editor = {B.~Johansson and S.~Jain and J.~Montoya-Torres and J.~Hugan and E.~Y\"{u}cesan}, pages = {1255--1262}, year = {2010}, url = {http://www.informs-sim.org/wsc10papers/115.pdf}, keywords = {stochastic root-finding, stochastic approximation}, abstract = {Consider multi-dimensional root finding when the equations are available only implicitly via a Monte Carlo simulation oracle that for any solution returns a vector of point estimates. We develop DARTS, a stochastic-approximation algorithm that makes quasi-Newton moves to a new solution whenever the current sample size is large compared to the estimated quality of the current solution and estimated sampling error. We show that DARTS converges in a certain precise sense, and discuss reasons to expect substantial computational efficiencies over traditional stochastic approximation variations.}}

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R.","Schmeiser, B. W."],"bibbaseid":"pasupathy-schmeiser-rootfindingviadartsdynamicadaptiverandomtargetshooting-2010","bibdata":{"bibtype":"inproceedings","type":"inproceedings","author":[{"firstnames":["R."],"propositions":[],"lastnames":["Pasupathy"],"suffixes":[]},{"firstnames":["B.","W."],"propositions":[],"lastnames":["Schmeiser"],"suffixes":[]}],"title":"Root Finding via DARTS: Dynamic Adaptive Random Target Shooting","booktitle":"Proceedings of the 2010 Winter Simulation Conference","publisher":"Institute of Electrical and Electronics Engineers, Inc.","address":"Piscataway, NJ","editor":[{"firstnames":[],"propositions":[],"lastnames":["B.~Johansson"],"suffixes":[]},{"firstnames":[],"propositions":[],"lastnames":["S.~Jain"],"suffixes":[]},{"firstnames":[],"propositions":[],"lastnames":["J.~Montoya-Torres"],"suffixes":[]},{"firstnames":[],"propositions":[],"lastnames":["J.~Hugan"],"suffixes":[]},{"firstnames":[],"propositions":[],"lastnames":["E.~Yücesan"],"suffixes":[]}],"pages":"1255–1262","year":"2010","url":"http://www.informs-sim.org/wsc10papers/115.pdf","keywords":"stochastic root-finding, stochastic approximation","abstract":"Consider multi-dimensional root finding when the equations are available only implicitly via a Monte Carlo simulation oracle that for any solution returns a vector of point estimates. We develop DARTS, a stochastic-approximation algorithm that makes quasi-Newton moves to a new solution whenever the current sample size is large compared to the estimated quality of the current solution and estimated sampling error. We show that DARTS converges in a certain precise sense, and discuss reasons to expect substantial computational efficiencies over traditional stochastic approximation variations.","bibtex":"@inproceedings{2010passchAWSC,\n\tauthor = {R. Pasupathy and B. W. Schmeiser},\n\ttitle = {Root Finding via DARTS: Dynamic Adaptive Random Target Shooting},\n\tbooktitle = {Proceedings of the 2010 Winter Simulation Conference},\n\tPublisher = {Institute of Electrical and Electronics Engineers, Inc.},\n\tAddress = {Piscataway, NJ},\n\tEditor = {B.~Johansson and S.~Jain and J.~Montoya-Torres and J.~Hugan and E.~Y\\\"{u}cesan},\n\tpages = {1255--1262},\n\tyear = {2010},\n\turl = {http://www.informs-sim.org/wsc10papers/115.pdf},\n\tkeywords = {stochastic root-finding, stochastic approximation},\n\tabstract = {Consider multi-dimensional root finding when the equations are available only implicitly via a Monte Carlo simulation oracle that for any solution returns a vector of point estimates. We develop DARTS, a stochastic-approximation algorithm that makes quasi-Newton moves to a new solution whenever the current sample size is large compared to the estimated quality of the current solution and estimated sampling error. We show that DARTS converges in a certain precise sense, and discuss reasons to expect substantial computational efficiencies over traditional stochastic approximation variations.}}\n\n","author_short":["Pasupathy, R.","Schmeiser, B. W."],"editor_short":["B.~Johansson","S.~Jain","J.~Montoya-Torres","J.~Hugan","E.~Yücesan"],"key":"2010passchAWSC","id":"2010passchAWSC","bibbaseid":"pasupathy-schmeiser-rootfindingviadartsdynamicadaptiverandomtargetshooting-2010","role":"author","urls":{"Paper":"http://www.informs-sim.org/wsc10papers/115.pdf"},"keyword":["stochastic root-finding","stochastic approximation"],"metadata":{"authorlinks":{"pasupathy, r":"https://bibbase.org/show?bib=http://web.ics.purdue.edu/~pasupath/rpVitapublist.bib"}},"html":""},"bibtype":"inproceedings","biburl":"http://web.ics.purdue.edu/~pasupath/rpVitapublist.bib","downloads":6,"keywords":["stochastic root-finding","stochastic approximation"],"search_terms":["root","finding","via","darts","dynamic","adaptive","random","target","shooting","pasupathy","schmeiser"],"title":"Root Finding via DARTS: Dynamic Adaptive Random Target Shooting","year":2010,"dataSources":["qnbhPCpdghcXAQgXA"]}