Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 23 (1983) no. 6, pp. 1314-1325
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F. Mirzoakhmedov; S. P. Uryasev. Adaptive step regulation for a stochastic optimization algorithm. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 23 (1983) no. 6, pp. 1314-1325. http://geodesic.mathdoc.fr/item/ZVMMF_1983_23_6_a3/
@article{ZVMMF_1983_23_6_a3,
author = {F. Mirzoakhmedov and S. P. Uryasev},
title = {Adaptive step regulation for a stochastic optimization algorithm},
journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
pages = {1314--1325},
year = {1983},
volume = {23},
number = {6},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZVMMF_1983_23_6_a3/}
}
TY - JOUR
AU - F. Mirzoakhmedov
AU - S. P. Uryasev
TI - Adaptive step regulation for a stochastic optimization algorithm
JO - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
PY - 1983
SP - 1314
EP - 1325
VL - 23
IS - 6
UR - http://geodesic.mathdoc.fr/item/ZVMMF_1983_23_6_a3/
LA - ru
ID - ZVMMF_1983_23_6_a3
ER -
%0 Journal Article
%A F. Mirzoakhmedov
%A S. P. Uryasev
%T Adaptive step regulation for a stochastic optimization algorithm
%J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
%D 1983
%P 1314-1325
%V 23
%N 6
%U http://geodesic.mathdoc.fr/item/ZVMMF_1983_23_6_a3/
%G ru
%F ZVMMF_1983_23_6_a3
The quasigradient algorithm of stochastic optimization is considered. The conditions to be imposed on the step multiplier, for Cesaro convergence of the algorithms with probability $1$, are studied. Adaptive step adjustment is proposed, and the convergence of the corresponding algorithm is proved. A numerical algorithm containing heuristic elements is described. The results of numerical experiments are quoted.
