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A stochastic optimization algorithm based on Newton-type method

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1 Author(s)
Maheshwari, S. ; Dept. of Math., William Paterson Coll., Wayne, NJ, USA

An algorithm is presented for optimization problems in which the objective function, its gradient, and its Hessian would require Monte-Carlo-type simulations. First, a conceptual algorithm is presented. Then, an implementable version of this conceptual algorithm, based on the idea of Newton's method, is given, together with convergence results and the conditions needed to achieve convergence

Published in:

Decision and Control, 1989., Proceedings of the 28th IEEE Conference on

Date of Conference:

13-15 Dec 1989