A Stochastic Quasigradient Algorithm with Variable Metric

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3284 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3284 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3284 archive 351 disk0/00/00/32/46 2016-01-15 01:59:28 2021-08-27 17:13:31 2016-01-15 01:59:28 monograph show 3 Uryasev S.P. AL1646 A Stochastic Quasigradient Algorithm with Variable Metric pub iis_met prog_ado This paper deals with a new variable metric algorithm for stochastic optimization problems. The essence of this is as follows: there exist two stochastic quasigradient algorithms working simultaneously -- the first in the main space, the second with respect to the matrices that modify the space variables. Almost sure convergence of the algorithm is proved for the case of the convex (possibly nonsmooth) objective function. 1989-12 published WP-89-098 WP-89-098 10 2676 public working_paper IIASA, Laxenburg, Austria 18 FALSE info:eu-repo/semantics/book