An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation Algorithm.

Mark Broadie Deniz M. Cicek Assaf Zeevi

Published in: WSC (2009)

Keyphrases

stochastic approximation
learning algorithm
objective function
dynamic programming
computational complexity
np hard
worst case
particle swarm optimization
cost function
linear programming
monte carlo
optimal solution