Multi-level stochastic approximation algorithms

DOI10.1214/15-AAP1109zbMath1344.93111arXiv1310.2052OpenAlexW2257202712MaRDI QIDQ292915

Noufel Frikha

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2052

zbMATH Keywords

stochastic optimizationcentral limit theoremEuler schememulti-level Monte Carlo methodsRuppert-Polyak averaging principlestochastic approximation algorithm

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

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