A New Perspective on Feasibility Determination

Abstract

We consider the problem of feasibility determination in a stochastic setting. In particular, we wish to determine whether a system belongs to a given set [Gamma] based on a performance measure estimated through Monte Carlo simulation. Our contribution is two-fold: (i) we characterize fractional allocations that are asymptotically optimal; and (ii) we provide an easily implementable algorithm, rooted in stochastic approximation theory, that results in sampling allocations that provably achieve in the limit the same performance as the optimal allocations. The finite-time behavior of the algorithm is also illustrated on two small examples.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 2008
Accession Number
ADA487215

Entities

People

  • Enver Yucesan
  • Roberto Szechtman

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Advanced Electronics
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Bayesian Networks
  • Computational Science
  • Computer Simulations
  • Engineering
  • Engineers
  • Information Operations
  • Mechanical Properties
  • Military Operations
  • Monte Carlo Method
  • New Jersey
  • New York
  • Operations Research
  • Probability
  • Sampling
  • Simulations

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.