Stochastic gradient algorithm with random truncations

DOI10.1016/S0377-2217(96)00397-9zbMath0929.90068OpenAlexW2044802771MaRDI QIDQ1278958

K. Appert

Publication date: 18 January 2000

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(96)00397-9

zbMATH Keywords

stochastic optimizationstochastic approximationgradient methodsuniform mixing

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Asymptotic behavior of truncated stochastic approximation procedures ⋮ Truncated stochastic approximation with moving bounds: convergence ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds

Cites Work

• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Stochastic approximation with discontinuous dynamics and state dependent noise: w.p. 1 and weak convergence
• Stochastic quasigradient methods for optimization of discrete event systems
• Stochastic approximation methods for constrained and unconstrained systems
• On-Line Optimization of Simulated Markovian Processes
• Robustness analysis for stochastic approximation algorithms
• Almost sure convergence of stochastic approximation algorithms with non-additive noise
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