Optimization algorithm with probabilistic estimation

DOI10.1007/BF00940585zbMath0797.90072MaRDI QIDQ1321420

V. Pereyra

Publication date: 27 April 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationgradient methodstochastic optimization algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (10)

Novel algorithms for noisy minimization problems with applications to neural networks training ⋮ Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems ⋮ Convergence analysis of gradient descent stochastic algorithms ⋮ Rates of convergence of ordinal comparison for dependent discrete event dynamic systems ⋮ A nonmonotone line search method for stochastic optimization problems ⋮ An SQP-type method and its application in stochastic programs ⋮ Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation ⋮ Spectral projected gradient method for stochastic optimization ⋮ Minimization algorithms based on supervisor and searcher cooperation ⋮ An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems

Cites Work

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• Stochastic approximation type methods for constrained systems: Algorithms and numerical results
• An Adaptive Precision Gradient Method for Optimal Control
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
• On the convergence of sequential minimization algorithms

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