On the Determination of the Step Size in Stochastic Quasigradient Methods

Pflug, G.C. ORCID: https://orcid.org/0000-0001-8215-3550 (1983). On the Determination of the Step Size in Stochastic Quasigradient Methods. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-83-025

Preview

Text CP-83-025.pdf Download (544kB) | Preview

Abstract

For algorithms of the Robbins-Monro type, the best choice (from the asymptotic point of view) for the step-size constants a_n is known to be a/n. From the practical point of view, however, adaptive step-size rules seem more likely to produce quick convergence. In this paper a new adaptive rule for controlling the stepsize is presented and its behavior is studied.

Actions (login required)

View Item