scholarly journals A regularized adaptive steplength stochastic approximation scheme for monotone stochastic variational inequalities

2011 ◽  
Author(s):  
Farzad Yousefian ◽  
Angelia Nedic ◽  
Uday V. Shanbhag
Keyword(s):  
Variational Inequalities ◽  
Stochastic Approximation ◽  
Approximation Scheme ◽  
Stochastic Variational Inequalities

A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization

1998 ◽  
Vol 12 (4) ◽  
pp. 519-531 ◽  
Author(s):  
Shalabh Bhatnagar ◽  
Vivek S. Borkar
Keyword(s):  
Stochastic Approximation ◽  
Perturbation Analysis ◽  
Parametric Optimization ◽  
Approximation Scheme ◽  
Infinitesimal Perturbation Analysis ◽  
Simulation Based ◽  
Infinitesimal Perturbation ◽  
Two Timescale Stochastic Approximation

A two timescale stochastic approximation scheme which uses coupled iterations is used for simulation-based parametric optimization as an alternative to traditional “infinitesimal perturbation analysis” schemes. It avoids the aggregation of data present in many other schemes. Its convergence is analyzed, and a queueing example is presented.

scholarly journals Stochastic variational inequalities with oblique subgradients

2012 ◽  
Vol 122 (7) ◽  
pp. 2668-2700 ◽  
Author(s):  
Anouar M. Gassous ◽  
Aurel Răşcanu ◽  
Eduard Rotenstein
Keyword(s):  
Variational Inequalities ◽  
Stochastic Variational Inequalities
Sign in / Sign up

Export Citation Format

Share Document