Multidimensional stochastic approximation

DOI10.1145/2553085zbMath1322.90053OpenAlexW2057226027MaRDI QIDQ5176915

Mark N. Broadie, Deniz M. Cicek, Assaf J. Zeevi

Publication date: 5 March 2015

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2553085

zbMATH Keywords

numerical examplesadaptive algorithmsstochastic approximationsRobbins-MonroKiefer-Wolfowitzsimultaneous perturbations stochastic approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Stochastic approximation (62L20) Approximation algorithms (68W25)

Cites Work

• Unnamed Item
• A Newton-Raphson version of the multivariate Robbins-Monro procedure
• Multivariate adaptive stochastic approximation
• Transformation of observations in stochastic approximation
• Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis
• Stochastic simulation: Algorithms and analysis
• Adaptive stochastic approximation by the simultaneous perturbation method
• General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm
• Revenue Management Without Forecasting or Optimization: An Adaptive Algorithm for Determining Airline Seat Protection Levels
• Accelerated Stochastic Approximation
• Robust Stochastic Approximation Approach to Stochastic Programming
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• A Scaled Stochastic Approximation Algorithm
• Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State
• Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems
• A Stochastic Approximation Algorithm with Varying Bounds
• Airline Seat Allocation with Multiple Nested Fare Classes
• Option pricing when underlying stock returns are discontinuous
• An Extension of the Robbins-Monro Procedure
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
• Multidimensional Stochastic Approximation Methods