A stochastic quasigradient algorithm with variable metric

DOI10.1007/BF02060944MaRDI QIDQ1207848zbMATH OpenFDO

Authors Stanislav P. Uryasev

Publication date 16 May 1993

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://pure.iiasa.ac.at/id/eprint/3246/1/WP-89-098.pdf

zbMATH Keywords

almost sure convergencenonsmooth objective functionstochastic optimizationvariable metric algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic programming (90C15)

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• Learning Applied to Successive Approximation Algorithms
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• Quasi-Newton Methods, Motivation and Theory
• Some methods of stochastic programming in Hilbert space
• Stochastic approximation algorithms for parallel and distributed processing
• stochastic quasigradient methods and their application to system optimization^†

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