A stochastic quasigradient algorithm with variable metric

A stochastic quasigradient algorithm with variable metric

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Article ID: iaor19931578
Country: Switzerland
Volume: 39
Issue: 1/4
Start Page Number: 251
End Page Number: 267
Publication Date: Jan 1993
Journal: Annals of Operations Research
Authors:
Abstract:

This paper deals with a new variable metric algorithm for stochastic optimization problems. The essence of this is as follows: there exist two stochastic quasigradient algorithms working simultaneously-the first in the main space, the second with respect to the matrices that modify the space variables. Almost sure convergence of the algorithm is proved for the case of the convex (possibly nonsmooth) objective function.

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