A stochastic approximation counterpart of the feasible direction method

Jacek Koronacki

Statistics & Probability Letters, 1987, vol. 5, issue 6, 415-419

Abstract: A stochastic approximation counterpart of the feasible direction method of Topkis and Veinott is considered. No convexity condition on a function to be minimized is imposed and a procedure for one-dimensional minimization along each feasible direction chosen is included. Stochastic analogues of other feasible direction methods can similarly be developed.

Keywords: stochastic; approximation; feasible; direction-like; methods; a.s.; convergence (search for similar items in EconPapers)
Date: 1987
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