| 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: | Kibzun Andrey, Matveev Evgeniy |
| Keywords: | stochastic processes |
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.