Simultaneous perturbation stochastic approximation of nonsmooth functions

DOI10.1016/j.ejor.2005.09.052zbMath1123.90056OpenAlexW2127337868MaRDI QIDQ877602

Vaida Bartkutė, Leonidas L. Sakalauskas

Publication date: 3 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.09.052

zbMATH Keywords

stochastic approximationLipschitz functionMonte-Carlo methodstochastic gradientsimultaneous perturbation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15)

Related Items

Simultaneous perturbation stochastic approximation: towards one-measurement per iteration ⋮ Statistical inferences for termination of Markov type random search algorithms

Cites Work

• Nonlinear stochastic programming by Monte-Carlo estimators
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Directionally Lipschitzian Functions and Subdifferential Calculus
• The Minimization of Semicontinuous Functions: Mollifier Subgradients
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Dynamic Stochastic Approximation Method
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
• Multidimensional Stochastic Approximation Methods
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