Stochastic quasigradient algorithm to minimize the quantile function

DOI10.1134/S0005117910060056MaRDI QIDQ612071zbMATH OpenFDO

Authors A. I. Kibzun, E. L. Matveev

Publication date 3 January 2011

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0005117910060056

zbMATH Keywords

order statisticquantile functionstochastic quasigradient algorithm

Mathematics Subject Classification ID

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Cites work

• Convexity properties of probability and quantile functions in optimization problems
• Guaranteeing approach to solving quantile optimization problems
• scientific article; zbMATH DE number 3761782 (Why is no real title available?)
• scientific article; zbMATH DE number 3417266 (Why is no real title available?)
• On convergence of a stochastic quasigradient algorithm of quantile optimization
• Order Statistics
• Problems in stochastic programming with probabilistic criteria

Cited in

(15)

• Guaranteeing approach to solving quantile optimization problems
• SQVAM: A variance minimizing algorithm
• A quasi-gradient algorithm for minimizing the quantile function
• On convergence of a stochastic quasigradient algorithm of quantile optimization
• Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm
• Stochastic quasigradient algorithm to minimize the function of integral quantile
• Stochastic quasi-gradient techniques in VaR-based ALM models
• scientific article; zbMATH DE number 1724442 (Why is no real title available?)
• On properties of the algorithm for pursuing a drifting quantile
• A smoothing stochastic algorithm for quantile estimation
• A Stochastic Approximation Method for Simulation-Based Quantile Optimization
• Application of the smooth approximation of the probability function in some applied stochastic programming problems
• Algorithm to solve the generalized Markowitz problem
• On stochastic linear programming problems with the quantile criterion
• Optimization of the quantile function on the basis of kernel estimates

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