A stochastic quasigradient algorithm with variable metric

DOI10.1007/BF02060944zbMath0770.90047MaRDI QIDQ1207848

Stanislav P. Uryasev

Publication date: 16 May 1993

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationalmost sure convergencevariable metric algorithmnonsmooth objective function

Mathematics Subject Classification ID

Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items (2)

Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces ⋮ Minimization algorithms based on supervisor and searcher cooperation

Cites Work

• stochastic quasigradient methods and their application to system optimization^†
• Some methods of stochastic programming in Hilbert space
• Stochastic approximation algorithms for parallel and distributed processing
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• Quasi-Newton Methods, Motivation and Theory
• Learning Applied to Successive Approximation Algorithms
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