Validation analysis of mirror descent stochastic approximation method
نویسندگان
چکیده
منابع مشابه
Validation analysis of mirror descent stochastic approximation method
The main goal of this paper is to develop accuracy estimates for stochastic programming problems by employing stochastic approximation (SA) type algorithms. To this end we show that while running a Mirror Descent Stochastic Approximation procedure one can compute, with a small additional effort, lower and upper statistical bounds for the optimal objective value. We demonstrate that for a certai...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2011
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-011-0442-6