A method of solving constrained stochastic optimization problems (Q1111938)
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scientific article; zbMATH DE number 4076970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A method of solving constrained stochastic optimization problems |
scientific article; zbMATH DE number 4076970 |
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A method of solving constrained stochastic optimization problems (English)
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1988
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This paper deals with a recurrence method of solving constrained optimization problems in the presence of noise. The consideration of its convergence and the rate of convergence is extended to the case where the minimum belongs to the boundary of the feasible set. The major results are established for the case of minimization of a function over a simple deterministic set.
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recurrence method
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constrained optimization
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presence of noise
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rate of convergence
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