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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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: 31 May 2016 07:06

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