Stochastic quasigradient algorithm to minimize the function of integral quantile

Stochastic quasigradient algorithm to minimize the function of integral quantile

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Article ID: iaor2012898
Volume: 73
Issue: 2
Start Page Number: 247
End Page Number: 264
Publication Date: Feb 2012
Journal: Automation and Remote Control
Authors: ,
Keywords: order statistics, stochastic linear programme
Abstract:

Proposed was a stochastic quasigradient algorithm to minimize the integral quantile function (CVaR criterion) with the use of the order statistics. Convergence of the algorithm with the probability one was proved, and an example was considered.

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