Stochastic optimization with averaging of trajectories

DOI10.1080/17442509208833769zbMATH Open0765.93081OpenAlexW2019686011MaRDI QIDQ4018640FDOQ4018640

Authors: Bernard Delyon, Anatoli Juditsky 

Publication date: 16 January 1993

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509208833769

Recommendations

• Stochastic averaging and stochastic extremum seeking
• Stochastic Averaging in Continuous Time and Its Applications to Extremum Seeking
• Optimization by stochastic continuation
• scientific article; zbMATH DE number 5281595
• scientific article; zbMATH DE number 4055383
• Passive stochastic approximation with averaging along trajectories
• Trajectory averaging for stochastic approximation MCMC algorithms

zbMATH Keywords

stochastic approximation algorithmsPolyak-Ruppert algorithmrecursive stochastic optimization procedure

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited In (15)

• The Robbins-Monro type stochastic differential equations. III: Polyak's averaging
• Optimal non-asymptotic analysis of the Ruppert-Polyak averaging stochastic algorithm
• Convergence of a stochastic approximation version of the EM algorithm
• Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme
• The multivariate Révész's online estimator of a regression function and its averaging
• Passive stochastic approximation with averaging along trajectories
• Semimartingale stochastic approximation procedure and recursive estimation
• How does a stochastic optimization/approximation algorithm adapt to a randomly evolving optimum/root with jump Markov sample paths
• Acceleration of Stochastic Approximation by Averaging
• Asymptotically optimal rate of convergence of smoothed stochastic recursive algorithms
• Online estimation of the asymptotic variance for averaged stochastic gradient algorithms
• Asymptotic behaviour of stochastic optimization jumping procedure in averaging scheme
• Some results about averaging in stochastic approximation
• Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms
• A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm

This page was built for publication: Stochastic optimization with averaging of trajectories

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4018640)