Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
نویسندگان
چکیده
منابع مشابه
Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
We present a stochastic approximation algorithm based on penalty function method and a simultaneous perturbation gradient estimate for solving stochastic optimisation problems with general inequality constraints. We present a general convergence result that applies to a class of penalty functions including the quadratic penalty function, the augmented Lagrangian, and the absolute penalty functi...
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ژورنال
عنوان ژورنال: International Journal of Control
سال: 2008
ISSN: 0020-7179,1366-5820
DOI: 10.1080/00207170701611123