Penalty function methods for constrained stochastic approximation

DOI10.1016/0022-247X(74)90256-XzbMath0284.62055OpenAlexW2128041675MaRDI QIDQ1845280

Harold J. Kushner

Publication date: 1974

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(74)90256-x

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Statistical decision theory (62C99) Stochastic approximation (62L20)

Related Items (5)

A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems ⋮ Stochastic optimization algorithms of a Bayesian design criterion for Bayesian parameter estimation of nonlinear regression models: Application in pharmacokinetics ⋮ Unnamed Item ⋮ Stochastic approximation of constrained systems with system and constraint noise ⋮ Penalty function methods for constrained stochastic approximation

Cites Work

• Unnamed Item
• Stochastic approximation of constrained systems with system and constraint noise
• Penalty function methods for constrained stochastic approximation
• Accelerated Stochastic Approximation
• A versatile method for the Monte Carlo optimization of stochastic systems

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