Gradient estimation using Lagrange interpolation polynomials

DOI10.1007/s10957-007-9315-9zbMath1279.90160OpenAlexW2041864745MaRDI QIDQ927219

H. J. M. Hamers, L. T. Driessen, Ruud C. M. Brekelmans, Dick den Hertog

Publication date: 4 June 2008

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-007-9315-9

zbMATH Keywords

Lagrange interpolationGradient estimationMean squared error

Mathematics Subject Classification ID

Nonlinear programming (90C30)

Cites Work

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• Structurally constrained \(H_{2}\) and \(H_{\infty }\) control: a rank-constrained LMI approach
• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Introduction to Stochastic Search and Optimization
• Trust Region Methods
• Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
• Stochastic Estimation of the Maximum of a Regression Function
• Multidimensional Stochastic Approximation Methods

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