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Avtomatika i Telemekhanika, 1988, Issue 5, Pages 99–105 (Mi at6681)  
Adaptive Systems

A method tо solve stochastic optimization problems with constraints

I. P. Devyaterikov, A. I. Koshlan'

Moscow
Full-text PDF (896 kB)
Abstract: A recurrent method is discussed of solving optimization problems with constraints and in the presence of random noise. Its convergence and rate of convergence are studied, in particular the case where the minima of the membership function stay оn the boundary of the feasible set. The basic results are reported for the case of minimizing a quadratic function for a simple deterministic set.

Received: 29.12.1986
Bibliographic databases:
Document Type: Article
UDC: 519.283
Language: Russian
Citation: I. P. Devyaterikov, A. I. Koshlan', “A method tо solve stochastic optimization problems with constraints”, Avtomat. i Telemekh., 1988, no. 5, 99–105; Autom. Remote Control, 49:5 (1988), 628–632
Citation in format AMSBIB
\Bibitem{DevKos88}
\by I.~P.~Devyaterikov, A.~I.~Koshlan'
\paper A method tо solve stochastic optimization problems with constraints
\jour Avtomat. i Telemekh.
\yr 1988
\issue 5
\pages 99--105
\mathnet{http://mi.mathnet.ru/at6681}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=952672}
\zmath{https://zbmath.org/?q=an:0658.90071}
\transl
\jour Autom. Remote Control
\yr 1988
\vol 49
\issue 5
\pages 628--632
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