An algorithm for approximating piecewise linear concave functions from sample gradients

DOI10.1016/S0167-6377(02)00187-6zbMath1031.90024MaRDI QIDQ1870009

Warren B. Powell, Huseyin Topaloglu

Publication date: 4 May 2003

Published in: Operations Research Letters (Search for Journal in Brave)

zbMATH Keywords

Approximation; Almost sure convergence; Concave functions; Stochastic gradient methods

Mathematics Subject Classification ID

90C26: Nonconvex programming, global optimization

90C59: Approximation methods and heuristics in mathematical programming

90C52: Methods of reduced gradient type

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