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General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm.
Mark Broadie
Deniz M. Cicek
Assaf Zeevi
Published in:
Oper. Res. (2011)
Keyphrases
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stochastic approximation
monte carlo
computational complexity
worst case
lower bound
np hard
dynamic programming
learning algorithm
theoretical guarantees
special case
particle swarm optimization
upper bound
linear programming
convergence rate
finite number
policy iteration