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A stochastic approximation counterpart of the feasible direction method

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  • Koronacki, Jacek

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.

Suggested Citation

  • Koronacki, Jacek, 1987. "A stochastic approximation counterpart of the feasible direction method," Statistics & Probability Letters, Elsevier, vol. 5(6), pages 415-419, October.
    • Handle: RePEc:eee:stapro:v:5:y:1987:i:6:p:415-419
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