Simultaneous perturbation stochastic approximation of nonsmooth functions

DOI10.1016/J.EJOR.2005.09.052MaRDI QIDQ877602zbMATH OpenOpenAlexFDO

Authors Vaida Bartkutė, Leonidas Sakalauskas

Publication date 3 May 2007

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2005.09.052

zbMATH Keywords

stochastic gradientstochastic approximationLipschitz functionMonte-Carlo methodsimultaneous perturbation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15)

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Cited in

(9)

• Simultaneous perturbation stochastic approximation: towards one-measurement per iteration
• Convergence rate of moments in stochastic approximation with simultaneous perturbation gradient approximation and resetting
• Random Directions Stochastic Approximation With Deterministic Perturbations
• Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
• Joint robustness on noise and Lyapunov functions for parallel stochastic approximation algorithms
• Statistical inferences for termination of Markov type random search algorithms
• Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation
• Parameter estimation in a highly non-linear model using simultaneous perturbation stochastic approximation
• Stochastic perturbation of reduced gradient \& GRG methods for nonconvex programming problems

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