Stabilization of Stochastic Iterative Methods for Singular and Nearly Singular Linear Systems

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Publication:5169691

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DOI10.1287/moor.2013.0596zbMath1291.65146OpenAlexW2203873279MaRDI QIDQ5169691

Dimitri P. Bertsekas, Mengdi Wang

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2013.0596

zbMATH Keywords

simulation regularization stabilization singular system stochastic algorithm approximate dynamic programming projected equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Dynamic programming (90C39) Stochastic analysis (60H99) Linear equations (linear algebraic aspects) (15A06) Numerical linear algebra (65F99)

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Proximal algorithms and temporal difference methods for solving fixed point problems ⋮ Scalable estimation strategies based on stochastic approximations: classical results and new insights

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