JSM 2005 - Toronto

Abstract #302540

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 210
Type: Invited
Date/Time: Tuesday, August 9, 2005 : 8:30 AM to 10:20 AM
Sponsor: Biopharmaceutical Section
Abstract - #302540
Title: Joint Optimization of Continuous and Discrete Parameters and an Application to Biological Classification Without Selection Bias
Author(s): James A. Garrett*+
Companies: Becton Dickinson
Address: MS 616, 7 Loveton Circle, Sparks, MD, 21152-0999,
Keywords: Classification ; Optimization ; Selection bias
Abstract:

Examples abound of "mixed" optimization problems, i.e., those with continuous and discrete components. These are solvable by partitioning the continuous and discrete components and letting the optimization criterion for the discrete part be the optimum for the continuous component, conditioned on the settings of the discrete component. This "nested" optimization is easy to apply, but can be inefficient. This paper presents a modification to the Simultaneous Perturbation Stochastic Approximation (SPSA) algorithm that makes this powerful algorithm applicable to many mixed optimization problems. This algorithm is applied to a biological classification/data-mining problem in order to obtain performance estimates free of selection bias.


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