Microsoft Corporation
Computing stochastic simulation control parameters

Abstract:

A computing device is provided, including memory storing a cost function of a plurality of variables. The computing device may further include a processor configured to, for a stochastic simulation algorithm, compute a control parameter upper bound. The processor may compute a control parameter lower bound. The processor may compute a plurality of intermediate control parameter values within a control parameter range between the control parameter lower bound and the control parameter upper bound. The processor may compute an estimated minimum or an estimated maximum of the cost function using the stochastic simulation algorithm with the control parameter upper bound, the control parameter lower bound, and the plurality of intermediate control parameter values. A plurality of copies of the cost function may be simulated with a respective plurality of seed values.