A stochastic algorithm using one sample point per iteration and diminishing step-sizes

DOI10.1007/BF00941830zbMATH Open0644.90079OpenAlexW2038084402MaRDI QIDQ1102867FDOQ1102867

Authors: B. George 

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1007/bf00941830

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zbMATH Keywords

stochastic algorithmdescent directionMonte Carlo simulationsstationary pointssupermartingalesRobbins-Monro stochastic approximationgradient evaluations

Mathematics Subject Classification ID

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

Cites Work

• A Stochastic Approximation Method
• Title not available (Why is that?)
• Minimization of functions having Lipschitz continuous first partial derivatives
• Title not available (Why is that?)
• Stochastic approximation type methods for constrained systems: Algorithms and numerical results
• Title not available (Why is that?)
• Stochastic Estimation of the Maximum of a Regression Function
• Title not available (Why is that?)
• A stochastic steepest-descent algorithm
• Stochastic approximation algorithms for constrained optimization problems
• A stochastic algorithm for optimization problems with continua of inequalities
• Stochastic approximation algorithms for the local optimization of functions with nonunique stationary points

Cited In (7)

• Stochastic algorithms with Armijo stepsizes for minimization of functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a proof of Robbins-Monro algorithm
• A stochastic steepest-descent algorithm
• Title not available (Why is that?)
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces

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