A Scaled Stochastic Approximation Algorithm

DOI10.1287/MNSC.42.4.475MaRDI QIDQ4363611zbMATH OpenOpenAlexFDO

Authors Sigrún Andradóttir

Publication date 12 November 1997

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.42.4.475

zbMATH Keywords

asymptotic normalitystrong consistencyRobbins-Monro algorithmqueueing systemsstochastic approximation algorithmroot findingKesten's acceleration

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic systems and control (93E99) Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cited in

(20)

• A stochastic Remes algorithm
• Monte carlo estimation for guaranteed-coverage non-normal tolerance intervals
• Solving fuzzy queueing decision problems via a parametric mixed integer nonlinear programming method
• Multidimensional stochastic approximation
• Simulation response optimization via direct conjugate direction method
• A gradient method for unconstrained optimization in noisy environment
• A scaled stochastic approximation algorithm for antenna arrays adaptive filtering problems
• Adaptive random search for continuous simulation optimization
• Subsampled first-order optimization methods with applications in imaging
• Stabilization of stochastic approximation by step size adaptation
• Towards logistics systems parameter optimisation through the use of response surfaces
• An alternating variable method with varying replications for simulation response optimization
• scientific article; zbMATH DE number 718744 (Why is no real title available?)
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• A new hybrid stochastic approximation algorithm
• Spectral projected gradient method for stochastic optimization
• Simulation-based optimization by new stochastic approximation algorithm
• A nonmonotone line search method for noisy minimization
• Techniques for Monte Carlo Optimizing
• A stochastic quasi-Newton method for simulation response optimization

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