| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1007/BF02060944 |
| A stochastic quasigradient algorithm with variable metric. | |
| Uryasev SP | |
| 发表日期 | 1992 |
| 出处 | Annals of Operations Research 39 (1): 251-267 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | 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 |
| 主题 | Decision Analysis and Support (DAS) |
| URL | http://pure.iiasa.ac.at/id/eprint/12859/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/127143 |
| 推荐引用方式 GB/T 7714 | Uryasev SP. A stochastic quasigradient algorithm with variable metric.. 1992. |
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