Could someone please point me to an optimizer for stochastic functions? (In http://cran.r-project.org/web/views/Optimization.html, I saw methods that use random directions for deterministic functions, which is not the kind of stochastic I need.)
For clarification, say I have an outcome function f(x), where x is a vector of, say, 3 choices. f(x) yields a simulated result that depends on random draws. That is, if I run it twice, it will give me different answers. I want to find the value of x that has the highest average f(x). There are apparently well-defined algorithms, such as Robbins-Monro, Kiefer-Wolfowitz, and Spall, although I don't know how they work nor do I need to know much. Presumably, a good algorithm knows not to draw too many points at a given x too early (when far away from the optimum), but to start more scattershot; and not to try to climb too aggressively. Intuitively, I probably want to start from a point, draw in a cloud around this point, and slowly sample-crawl into the direction where values tend to be higher. Ideally, the algorithm would try to solve an updatable least-squares problem to determine its next sample. Pointers appreciated. regards, /iaw ---- Ivo Welch (ivo.we...@gmail.com) [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.