Convergence analysis of gradient descent stochastic algorithms

DOI10.1007/BF02190104zbMath0873.93084OpenAlexW2090068900MaRDI QIDQ1359455

O. Diekmann

Publication date: 7 October 1997

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

Full work available at URL: https://doi.org/10.1007/bf02190104

zbMATH Keywords

infinitesimaluniform law of large numbersdiscrete event systemsgradient descent

Mathematics Subject Classification ID

Related Items

Plausible Screening Using Functional Properties for Simulations with Large Solution Spaces ⋮ Laplacian smoothing gradient descent ⋮ A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters ⋮ SGEM: stochastic gradient with energy and momentum ⋮ Accelerated stochastic variance reduction for a class of convex optimization problems ⋮ Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ Convergence of the Monte Carlo expectation maximization for curved exponential families. ⋮ Spectral projected gradient method for stochastic optimization ⋮ ACCELERATING GENERALIZED ITERATIVE SCALING BASED ON STAGGERED AITKEN METHOD FOR ON-LINE CONDITIONAL RANDOM FIELDS ⋮ Optimization of computer simulation models with rare events ⋮ An Adaptive Gradient Method with Energy and Momentum

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Interchangeability of expectation and differentiation of waiting times in \(GI/G/1\) queues
• Stochastic algorithms with Armijo stepsizes for minimization of functions
• Asymptotic properties of statistical estimators in stochastic programming
• Optimization algorithm with probabilistic estimation
• Convergence of some algorithms for convex minimization
• Optimization via simulation: A review
• Optimization and nonsmooth analysis
• On sampling controlled stochastic approximation
• Stochastic optimization of regenerative systems using infinitesimal perturbation analysis
• Nondifferentiability of the steady-state function in discrete event dynamic systems
• Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times
• Convergence Analysis of Stochastic Algorithms
• Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State
• Convergence of Subdifferentials Under Strong Stochastic Convexity