A Stochastic Quasigradient Algorithm with Variable Metric

Uryasev SP (1989). A Stochastic Quasigradient Algorithm with Variable Metric. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-89-098

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Abstract

This paper deals with a new variable metric algorithm for stochastic optimization problems. The essence of this is as follows: there exist two stochastic quasigradient algorithms working simultaneously -- the first in the main space, the second with respect to the matrices that modify the space variables. Almost sure convergence of the algorithm is proved for the case of the convex (possibly nonsmooth) objective function.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:59
Last Modified: 24 Jul 2016 14:16
URI: http://pure.iiasa.ac.at/3246

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