Non-Standard Stochastic Approximation Scheme

Charamza P (1989). Non-Standard Stochastic Approximation Scheme. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-89-023

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Abstract

An adaptive stochastic approximation scheme is suggested for solving a system of equations defined by functions whose values are available only through random observations on a given lattice. To improve the performance of the basic stochastic approximation scheme in the presence of outliers, the author uses isotonic and quasi-isotonic regression to fit the observed function values. The convergence of the algorithm is proved.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Young Scientists Summer Program (YSSP)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:00
Last Modified: 17 Nov 2016 10:24
URI: http://pure.iiasa.ac.at/3321

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