Stochastic Algorithms for the Estimation of an Optimal Solution of a LP Problem. Convergence and Central Limit Theorem

DOI10.1080/03610920802165329zbMath1292.62123OpenAlexW2142799995MaRDI QIDQ5495072

Tomás Prieto-Rumeau

Publication date: 30 July 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802165329

zbMATH Keywords

stochastic approximationcentral limit theoremstochastic algorithms

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Linear programming (90C05) Stochastic approximation (62L20)

Related Items

Estimation of an optimal solution of a LP problem with unknown objective function

Cites Work

• Estimation of an optimal solution of a LP problem with unknown objective function
• Stochastic Minimization with Constant Step-Size: Asymptotic Laws
• Introduction to Stochastic Programming
• On Asymptotic Normality in Stochastic Approximation
• Asymptotic Distribution of Stochastic Approximation Procedures
• On a Stochastic Approximation Method
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