Budget-Dependent Convergence Rate of Stochastic Approximation

DOI10.1137/S1052623495270723MaRDI QIDQ4389189zbMATH OpenFDO

Authors Pierre L'Ecuyer, George Yin

Publication date 12 May 1998

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1052623495270723

zbMATH Keywords

discrete-event systemsgradient estimatelimit theoremsrate of convergencestochastic approximationstochastic optimization

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic approximation (62L20) Stochastic systems and control (93E99)

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Cited in

(17)

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• A stochastic quasi-Newton method for simulation response optimization
• Optimal budget allocation for sample average approximation
• An adaptive zero-variance importance sampling approximation for static network dependability evaluation
• Adaptive random search for continuous simulation optimization
• Gradient-based simulation optimization under probability constraints
• On sampling rates in simulation-based recursions
• A Stochastic Approximation Algorithm with Varying Bounds
• Derivative-free optimization methods
• Recursive estimation algorithms for power controls of wireless communication networks
• STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
• Random-direction optimization algorithms with applications to threshold controls
• Adaptive sampling quasi-Newton methods for zeroth-order stochastic optimization
• Identification error bounds and asymptotic distributions for systems with structural uncertainties
• Upper bounds for the 0-1 stochastic knapsack problem and a B\&B algorithm

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