A stochastic approximation counterpart of the feasible direction method

DOI10.1016/0167-7152(87)90092-7MaRDI QIDQ1107247zbMATH OpenOpenAlexFDO

Authors Jacek Koronacki

Publication date 1987

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(87)90092-7

zbMATH Keywords

almost sure convergencefeasible direction method of Topkis and Veinott

Mathematics Subject Classification ID

Stochastic approximation (62L20)

Review text

A stochastic approximation counterpart of the feasible direction method of Topkis and Veinott is considered. No convexity condition on a function to be minimized is imposed and a procedure for one-dimensional minimization along each feasible direction chosen is included. Stochastic analogues of other feasible direction methods can similarly be developed.

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Cites work

• Convergence Conditions for Nonlinear Programming Algorithms
• Feasible direction methods for stochastic programming problems
• scientific article; zbMATH DE number 3729315 (Why is no real title available?)
• scientific article; zbMATH DE number 3206654 (Why is no real title available?)
• Stochastic approximation algorithms for constrained optimization problems
• Stochastic approximation type methods for constrained systems: Algorithms and numerical results

Cited in

(7)

• Pure adaptive search in Monte Carlo optimization
• Probabilistic version of the method of feasible directions.
• scientific article; zbMATH DE number 3926637 (Why is no real title available?)
• Random Directions Stochastic Approximation With Deterministic Perturbations
• Approximate feasible direction method for stochastic programming problems with recourse. linear inequality deterministic constraints
• The Stochastic Fejér-Monotone Hybrid Steepest Descent Method and the Hierarchical RLS
• A comparison of feasible direction methods for the stochastic transportation problem

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