Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm

Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm

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Article ID: iaor20126101
Volume: 200
Issue: 1
Start Page Number: 183
End Page Number: 198
Publication Date: Nov 2012
Journal: Annals of Operations Research
Authors: ,
Keywords: stochastic processes
Abstract:

A stochastic quasigradient algorithm is suggested for solving the quantile optimization problem with a convex loss function. The algorithm is based on stochastic finite‐difference approximations of gradients of the quantile function by using the order statistics. The algorithm convergence almost surely is proved.

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