Penalty function methods for constrained stochastic approximation

DOI10.1016/0022-247X(74)90256-XMaRDI QIDQ1845280zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 1974

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247x(74)90256-x

Mathematics Subject Classification ID

Statistical decision theory (62C99) Stochastic approximation (62L20) Optimal stochastic control (93E20)

Cites work

• A versatile method for the Monte Carlo optimization of stochastic systems
• Accelerated Stochastic Approximation
• scientific article; zbMATH DE number 3307153 (Why is no real title available?)
• Penalty function methods for constrained stochastic approximation
• Stochastic approximation of constrained systems with system and constraint noise

Cited in

(6)

• Stochastic approximation of constrained systems with system and constraint noise
• Stochastic optimization algorithms of a Bayesian design criterion for Bayesian parameter estimation of nonlinear regression models: Application in pharmacokinetics
• Penalty function methods for constrained stochastic approximation
• A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems
• scientific article; zbMATH DE number 3860223 (Why is no real title available?)
• Variance-reduced first-order methods for deterministically constrained stochastic nonconvex optimization with strong convergence guarantees

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