A stochastic steepest-descent algorithm

DOI10.1007/BF00938315zbMath0628.90067OpenAlexW1519752295MaRDI QIDQ1093541

B. George

Publication date: 1988

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00938315

zbMATH Keywords

stochastic approximationstationary pointsnoisy observationsadaptive precision schemeArmijo stepsizestochastic steepest-descent algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37)

Related Items (8)

A stochastic steepest-descent algorithm ⋮ Descent direction method with line search for unconstrained optimization in noisy environment ⋮ A stochastic algorithm using one sample point per iteration and diminishing step-sizes ⋮ A nonmonotone line search method for stochastic optimization problems ⋮ A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty ⋮ Stochastic algorithms with Armijo stepsizes for minimization of functions ⋮ How to optimize discrete-event systems from a single sample path by the score function method ⋮ Optimization algorithm with probabilistic estimation

Cites Work

• A stochastic steepest-descent algorithm
• Stochastic approximation algorithms for constrained optimization problems
• Computational methods in optimization. A unified approach.
• Minimization of functions having Lipschitz continuous first partial derivatives
• Stochastic approximation algorithms for the local optimization of functions with nonunique stationary points
• Stochastic approximation type methods for constrained systems: Algorithms and numerical results
• An Adaptive Precision Gradient Method for Optimal Control
• Stochastic Estimation of the Maximum of a Regression Function

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