A stochastic algorithm using one sample point per iteration and diminishing step-sizes
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Publication:1102867
DOI10.1007/BF00941830zbMath0644.90079MaRDI QIDQ1102867
Publication date: 1989
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
supermartingales; Monte Carlo simulations; stationary points; stochastic algorithm; descent direction; Robbins-Monro stochastic approximation; gradient evaluations
65K05: Numerical mathematical programming methods
90C30: Nonlinear programming
49M37: Numerical methods based on nonlinear programming