Stochastic approximation

Pflug GC ORCID: (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.

Full text not available from this repository.


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


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


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: 10 Sep 2019 11:33

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313