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General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type
9 references·0 citing·28 second hop
General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type (2019)General multilevel adaptations for stocha…Stochastic Approximation (2022)Stochastic ApproximationMulti-level stochastic approximation algorithms (2016)Multi-level stochastic approx…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Stochastic approximation: invited paper (2003)Stochastic approximation: inv…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes (1993)Stochastic Approximation with…Stochastic Approximation and Optimization of Random Systems (1992)Stochastic Approximation and …Almost Sure Approximations to the Robbins-Monro and Kiefer-Wolfowitz Processes with Dependent Noise (1982)Almost Sure Approximations to…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Stochastic Estimation of the Maximum of a Regression Function (1952)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Optimization via simulation: A review (1994)Budget-Dependent Convergence Rate of Stochastic Approximation (1998)A companion for the Kiefer–Wolfowitz–Blum stochastic approximation algorithm (2007)Some aspects of the sequential design of experiments (1952)Multivariate stochastic approximation using a simultaneous perturbation gradient approximation (1992)Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control (2004)Linearly Parameterized Bandits (2010)Non-Stationary Stochastic Optimization (2013)Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Acceleration of Stochastic Approximation by Averaging (1992)Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms (2006)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)A review of simulation optimization techniques (2002)Stochastic Trust-Region Response-Surface Method (STRONG)—A New Response-Surface Framework for Simulation Optimization (2012)Lectures on Stochastic Programming (2009)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)Backward Stochastic Differential Equations in Finance (1997)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Multidimensional Stochastic Processes as Rough Paths (2010)The stochastic root-finding problem (2011)Simulation Optimization: A Concise Overview and Implementation Guide (2013)
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References

  • 1951A Stochastic Approximation Method9,630 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)536 cited
  • 1992Stochastic Approximation and Optimization of Random Systems228 cited
  • 2003Stochastic approximation: invited paper125 cited
  • 1993Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes88 cited
  • 2022Stochastic Approximation76 cited
  • 1982Almost Sure Approximations to the Robbins-Monro and Kiefer-Wolfowitz Processes with Dependent Noise72 cited
  • 2016Multi-level stochastic approximation algorithms23 cited

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