Optimization over discrete sets via SPSA

A fixed gain version of the SPSA (simultaneous perturbation stochastic approximation) method (J.C. Spall, 1992) for function minimization is developed and the error process is characterized. The new procedure is applicable to optimization problems over /spl Zscr//sup p/., the grid of points in /spl Rscr//sup p/ with integer components. Simulation results and a closely related application, a resource allocation problem, is also described.