Stochastic approximation

Pflug GC (1996). Stochastic approximation. In: Optimization of Stochastic Models. pp. 281-322 USA: Springer Verlag. ISBN 978-1-4613-1449-3 DOI:10.1007/978-1-4613-1449-3_5.

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Abstract

This chapter deals with algorithms for the optimization of simulated systems.In particular we study stochastic variants of the gradient algorithm

xn+1=xn−an∇F(xn)]

which was introduced in (1.27) to solve the optimization problem

[F(x)=∥∥∥MinimizeF(x)x∈Rd]

where F is bounded from below.

Item Type: Book Section
Research Programs: Risk, Uncertainty, and Complexity (RUC)
Depositing User: Romeo Molina
Date Deposited: 31 May 2016 07:06
Last Modified: 31 May 2016 07:06
URI: http://pure.iiasa.ac.at/13256

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