On the Determination of the Step Size in Stochastic Quasigradient Methods

Pflug GC (1983). On the Determination of the Step Size in Stochastic Quasigradient Methods. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-83-025

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Abstract

For algorithms of the Robbins-Monro type, the best choice (from the asymptotic point of view) for the step-size constants a_n is known to be a/n. From the practical point of view, however, adaptive step-size rules seem more likely to produce quick convergence. In this paper a new adaptive rule for controlling the stepsize is presented and its behavior is studied.

Item Type: Monograph (IIASA Collaborative Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:54
Last Modified: 23 Jul 2016 02:35
URI: http://pure.iiasa.ac.at/2357

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