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Avtomatika i Telemekhanika, 2012, Issue 2, Pages 41–60
(Mi at3610)
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This article is cited in 2 scientific papers (total in 2 papers)
Linear and Nonlinear Programming
Stochastic quasigradient algorithm to minimize the function of integral quantile
A. I. Kibzun, A. I. Chernobrovov Moscow State Aviation Institute, Moscow, Russia
Abstract:
Proposed was a stochastic quasigradient algorithm to minimize the integral quantile function (CVaR criterion) with the use of the order statistics. Convergence of the algorithm with the probability one was proved, and an example was considered.
Citation:
A. I. Kibzun, A. I. Chernobrovov, “Stochastic quasigradient algorithm to minimize the function of integral quantile”, Avtomat. i Telemekh., 2012, no. 2, 41–60; Autom. Remote Control, 73:2 (2012), 247–264
Linking options:
https://www.mathnet.ru/eng/at3610 https://www.mathnet.ru/eng/at/y2012/i2/p41
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Statistics & downloads: |
Abstract page: | 546 | Full-text PDF : | 101 | References: | 80 | First page: | 21 |
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