Criterion algorithms of stochastic optimization

MaRDI QIDQ759650zbMATH OpenFDO

Authors Boris T. Polyak, Yakov Z. Tsypkin

Publication date 1984

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

Criterion optimization problemsrandom errors of measurement of the gradientrate of convergencestochastic optimizationunconstrained minimization

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Nonlinear programming (90C30)

Review text

Criterion optimization problems are considered in which it is important to estimate the optimum value of the performance criterion, whereas the coordinates of the extremum point are not of interest. Algorithms are proposed for solving criterion problems in the presence of random errors of measurement of the gradient; they are optimal in the sense of the criterion rate of convergence.

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