کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527176 | 958721 | 2015 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A multi-step Richardson-Romberg extrapolation method for stochastic approximation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A multi-step Richardson-Romberg extrapolation method for stochastic approximation A multi-step Richardson-Romberg extrapolation method for stochastic approximation](/preview/png/10527176.png)
چکیده انگلیسی
We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in Frikha (2013). This allows us to extend and develop the Richardson-Romberg extrapolation method for Monte Carlo linear estimator (introduced in Talay and Tubaro (1990) and deeply studied in Pagès (2007)) to the framework of stochastic optimization by means of stochastic approximation algorithm. We notably apply the method to the estimation of the quantile of diffusion processes. Numerical results confirm the theoretical analysis and show a significant reduction in the initial computational cost.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 11, November 2015, Pages 4066-4101
Journal: Stochastic Processes and their Applications - Volume 125, Issue 11, November 2015, Pages 4066-4101
نویسندگان
N. Frikha, L. Huang,