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Pflug, G.C. 
ORCID: https://orcid.org/0000-0001-8215-3550
(1996).
Stochastic approximation.
In:
Optimization of Stochastic Models.
pp. 281-322 USA: Springer Verlag.
ISBN 978-1-4613-1449-3 10.1007/978-1-4613-1449-3_5.
Abstract
This chapter deals with algorithms for the optimization of simulated systems.In particular we study stochastic variants of the gradient algorithm
xn+1=xn−an∇F(xn)]
which was introduced in (1.27) to solve the optimization problem
[F(x)=∥∥∥MinimizeF(x)x∈Rd]
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: | 27 Aug 2021 17:27 |
| URI: | https://pure.iiasa.ac.at/13256 |
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