Gradient estimation using Lagrange interpolation polynomials

DOI10.1007/S10957-007-9315-9MaRDI QIDQ927219zbMATH OpenOpenAlexFDO

Authors L. T. Driessen, H. J. M. Hamers, Ruud Brekelmans, D. Den Hertog

Publication date 4 June 2008

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s10957-007-9315-9

zbMATH Keywords

Lagrange interpolationGradient estimationMean squared error

Mathematics Subject Classification ID

Nonlinear programming (90C30)

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• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
• Introduction to Stochastic Search and Optimization
• Multidimensional Stochastic Approximation Methods
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Stochastic Estimation of the Maximum of a Regression Function
• Structurally constrained \(H_{2}\) and \(H_{\infty }\) control: a rank-constrained LMI approach
• Trust Region Methods

Cited in

(2)

• INTERPOLATION UNDER A GRADIENT BOUND
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