2014
DOI: 10.1590/0101-7438.2014.034.03.0373
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Stochastic Gradient Methods for Unconstrained Optimization

Abstract: ABSTRACT. This papers presents an overview of gradient based methods for minimization of noisy functions. It is assumed that the objective functions is either given with error terms of stochastic nature or given as the mathematical expectation. Such problems arise in the context of simulation based optimization. The focus of this presentation is on the gradient based Stochastic Approximation and Sample Average Approximation methods. The concept of stochastic gradient approximation of the true gradient can be s… Show more

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Cited by 3 publications
(3 citation statements)
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References 33 publications
(47 reference statements)
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“…For solving Equation ( 1 ), a simple optimisation (binary search) algorithm is given in [ 1 ] and is available as part of the software URFinder 3.7 available from the author; see Supplementary Materials . Gradient decent may also be applicable, advanced optimisation methods are described in [ 13 , 14 , 15 ], and computationally faster surrogates for can be obtained using machine learning.…”
Section: Methodsmentioning
confidence: 99%
“…For solving Equation ( 1 ), a simple optimisation (binary search) algorithm is given in [ 1 ] and is available as part of the software URFinder 3.7 available from the author; see Supplementary Materials . Gradient decent may also be applicable, advanced optimisation methods are described in [ 13 , 14 , 15 ], and computationally faster surrogates for can be obtained using machine learning.…”
Section: Methodsmentioning
confidence: 99%
“…Furthermore, ( 1) is an optimisation problem and falls within a common general class of problems studied in optimisation theory for which a number of efficient algorithms are available. These involve, gradient methods, stochastic gradient methods and derivative free optimisation; see [19], [20] and [21]. Symbol Description a, b, c, .…”
Section: A Comparison Of Float Entropy and Shannon Entropymentioning
confidence: 99%
“…One can distinguish between two main approaches in the sample size scheduling -a predetermined sample size schedule, for example [12] or an adaptive sample size schedule, [6,11,13]. An overview of different sample size scheduling is presented in [7].…”
Section: Introductionmentioning
confidence: 99%