Stochastic approximation algorithms for constrained optimization problems

DOI10.1214/AOS/1176342759MaRDI QIDQ1213722zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 1974

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176342759

Mathematics Subject Classification ID

Stochastic approximation (62L20) Mathematical programming (90C99) Optimal stochastic control (93E20)

Cited in

(14)

• Inventory models under uncertainty: An adaptive approach
• A stochastic steepest-descent algorithm
• A stochastic algorithm using one sample point per iteration and diminishing step-sizes
• A stochastic approximation counterpart of the feasible direction method
• Stochastic approximation of constrained systems with system and constraint noise
• General convergence results for stochastic approximations via weak convergence theory
• Stochastic algorithms with Armijo stepsizes for minimization of functions
• Asymptotic optimality in stochastic optimization
• stochastic quasigradient methods and their application to system optimization^†
• Feasible direction methods for stochastic programming problems
• scientific article; zbMATH DE number 3508378 (Why is no real title available?)
• scientific article; zbMATH DE number 3550576 (Why is no real title available?)
• Nonlinear programming methods in the presence of noise
• Robust analysis in stochastic simulation: computation and performance guarantees

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