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

DOI10.1007/BF00941830MaRDI QIDQ1102867zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3638844 (Why is no real title available?)
• scientific article; zbMATH DE number 3310599 (Why is no real title available?)
• scientific article; zbMATH DE number 3407464 (Why is no real title available?)
• A Stochastic Approximation Method
• A stochastic algorithm for optimization problems with continua of inequalities
• A stochastic steepest-descent algorithm
• Minimization of functions having Lipschitz continuous first partial derivatives
• Stochastic Estimation of the Maximum of a Regression Function
• Stochastic approximation algorithms for constrained optimization problems
• Stochastic approximation algorithms for the local optimization of functions with nonunique stationary points
• Stochastic approximation type methods for constrained systems: Algorithms and numerical results

Cited in

(7)

• scientific article; zbMATH DE number 18485 (Why is no real title available?)
• Stochastic algorithms with Armijo stepsizes for minimization of functions
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• On a proof of Robbins-Monro algorithm
• A stochastic steepest-descent algorithm
• scientific article; zbMATH DE number 4091202 (Why is no real title available?)
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces

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