Search Results - "STOCHASTIC approximation"

Online Estimation and Optimization of Utility-Based Shortfall Risk.

Authors: Hegde, Vishwajit Menon, Arvind Satish Prashanth, L.A. et al.

Source: Mathematics of Operations Research. Nov2025, Vol. 50 Issue 4, p2470-2501. 32p.

Subject Terms: *RISK assessment, STOCHASTIC approximation, MACHINE learning, ADAPTIVE estimation (Statistics), LOSS functions (Statistics), NUMERICAL analysis

Simulation optimization of conditional value-at-risk.

Authors: Hu, Jiaqiao Song, Meichen Fu, Michael C. et al.

Source: IISE Transactions. Oct2025, Vol. 57 Issue 10, p1167-1181. 15p.

Subject Terms: *VALUE at risk, *ALGORITHMS, *SIMULATION methods & models, STOCHASTIC approximation, MEASURING instruments

A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation.

Authors: Crépey, Stéphane Frikha, Noufel Louzi, Azar

Source: Finance & Stochastics. Oct2025, Vol. 29 Issue 4, p1015-1074. 60p.

Subject Terms: *VALUE at risk, *BUSINESS losses, *SIMULATION methods & models, STOCHASTIC approximation, NUMERICAL analysis, COMPUTATIONAL complexity

Learning dynamical systems with particle stochastic approximation em

Authors: Lindholm, Andreas Lindsten, Fredrik

Source: Foundations of Data Science. 7(4):1089-1116

Subject Terms: Bayesian inference, sequential Monte Carlo, expectation maximization, stochastic approximation, state space model, system identification

File Description: print

Access URL: https://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-217180
https://doi.org/10.3934/fods.2025015

Comparison of computationally efficient approximate methods for nonlinear and generalized linear mixed effects models.

Authors: Gao, Sihaoyu Wu, Lang

Source: Journal of Statistical Computation & Simulation. Aug2025, Vol. 95 Issue 12, p2700-2723. 24p.

Subject Terms: *SIMULATION methods & models, STOCHASTIC approximation, EXPECTATION-maximization algorithms, MULTILEVEL models, MAXIMUM likelihood statistics, STATISTICAL software, INFERENTIAL statistics

On Probabilistic Convergence Rates of Symmetric Stochastic Bernstein Polynomials.

Authors: Zhang, Shenggang Gao, Qinjiao Zhu, Chungang

Source: Mathematics (2227-7390). Oct2025, Vol. 13 Issue 20, p3281. 15p.

Subject Terms: *STOCHASTIC approximation, *BERNSTEIN polynomials, *APPROXIMATION theory, *QUANTITATIVE research, *STOCHASTIC convergence, *ORDER statistics

Stochastic Approximation in Unbalanced Time‐Varying Networks for Robust Distributed Coordinated Control.

Authors: Wang, Bo Han, Zhimin Zhai, Chunjie et al.

Source: International Journal of Robust & Nonlinear Control. Oct2025, Vol. 35 Issue 15, p6579-6588. 10p.

Subject Terms: *STOCHASTIC approximation, *MULTIAGENT systems, *LYAPUNOV functions, *CONSENSUS (Social sciences), *COMPUTER simulation, *DECENTRALIZED control systems, *COMPUTER networks

Finite-Time High-Probability Bounds for Polyak–Ruppert Averaged Iterates of Linear Stochastic Approximation.

Authors: Durmus, Alain Moulines, Eric Naumov, Alexey et al.

Source: Mathematics of Operations Research. May2025, Vol. 50 Issue 2, p935-964. 30p.

Subject Terms: *STOCHASTIC analysis, *RANDOM variables, STOCHASTIC approximation, MATRIX multiplications, RANDOM matrices

Managing Flexible Capacity in Service Systems with Worker Shortages.

Authors: Yuan, Yuting¹ (AUTHOR) yxy5520@psu.edu

Source: Manufacturing & Service Operations Management (M&SOM). May/Jun2025, Vol. 27 Issue 3, p808-824. 17p.

Subject Terms: *COST control, *QUALITY of service, *INDEPENDENT regulatory commissions, STOCHASTIC approximation, COST functions

Discrete approximation of stochastic Mather measures.

Authors: Davini, Andrea Iturriaga, Renato Garmendia, Jose Luis Perez et al.

Source: Proceedings of the American Mathematical Society. Aug2025, Vol. 153 Issue 8, p3319-3333. 15p.

Subject Terms: *STOCHASTIC approximation, *TORUS

A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain.

Authors: Liu, Ruishu Neuenkirch, Andreas Wang, Xiaojie

Source: Mathematics of Computation. Jul2025, Vol. 94 Issue 354, p1815-1862. 48p.

Subject Terms: *STOCHASTIC differential equations, *STOCHASTIC approximation

A sample average approximation-based heuristic for the stochastic production routing problem: A SAA-based heuristic for the 2sSPRP: A. Geiger.

Authors: Geiger, Andreas¹ (AUTHOR) andreas.geiger@uni-hamburg.de

Source: Central European Journal of Operations Research. Mar2025, Vol. 33 Issue 1, p121-144. 24p.

Subject Terms: *PRODUCTION planning, *HEURISTIC, STOCHASTIC programming, STOCHASTIC approximation, METAHEURISTIC algorithms

Technical Note—On the Convergence Rate of Stochastic Approximation for Gradient-Based Stochastic Optimization.

Authors: Hu, Jiaqiao Fu, Michael C.

Source: Operations Research. Mar/Apr2025, Vol. 73 Issue 2, p1143-1150. 8p.

Subject Terms: *STOCHASTIC convergence, STOCHASTIC approximation, APPROXIMATION algorithms, FINITE differences, AIR forces

Well-posedness of stochastic Cahn-Hilliard-Brinkman system with regular potential.

Authors: Dai, Haoran You, Bo Li, Fang

Source: Stochastic Analysis & Applications. Mar2025, Vol. 43 Issue 2, p181-204. 24p.

Subject Terms: *PROBABILITY theory, STOCHASTIC systems, STOCHASTIC approximation, NOISE

A Policy Gradient Algorithm for the Risk-Sensitive Exponential Cost MDP.

Authors: Moharrami, Mehrdad Murthy, Yashaswini Roy, Arghyadip et al.

Source: Mathematics of Operations Research. Feb2025, Vol. 50 Issue 1, p431-458. 28p.

Subject Terms: *APPROXIMATION theory, *MARKOV processes, *COMPUTER networks, STOCHASTIC approximation, REINFORCEMENT learning

Adaptive sequential procedures for quantile selection with importance sampling.

Authors: Tsai, Shing Chih Jiang, Guangxin Luo, Jun

Source: IISE Transactions. Mar2025, Vol. 57 Issue 3, p275-287. 13p.

Subject Terms: STOCHASTIC approximation, SAMPLING (Process), QUANTILES

Spatial data fusion adjusting for preferential sampling using integrated nested Laplace approximation and stochastic partial differential equation.

Authors: Zhong, Ruiman Amaral, André Victor Ribeiro Moraga, Paula

Source: Journal of the Royal Statistical Society: Series A (Statistics in Society). Jan2025, Vol. 188 Issue 1, p140-157. 18p.

Subject Terms: *AIR pollution, STOCHASTIC partial differential equations, STOCHASTIC approximation, DATA integration, REMOTE-sensing images

SIGNAL-COMPARISON-BASED DISTRIBUTED ESTIMATION UNDER DECAYING AVERAGE DATA RATE COMMUNICATIONS.

Authors: JIEMING KE XIAODONG LU YANLONG ZHAO et al.

Source: SIAM Journal on Control & Optimization. 2025, Vol. 63 Issue 2, p1129-1155. 27p.

Subject Terms: *DATA transmission systems, STOCHASTIC approximation, APPROXIMATION algorithms, NEIGHBORHOODS, POLYNOMIALS, DISTRIBUTED algorithms

CONSISTENCY OF SAMPLE-BASED STATIONARY POINTS FOR INFINITE-DIMENSIONAL STOCHASTIC OPTIMIZATION.

Authors: MILZ, JOHANNES¹ johannes.milz@isye.gatech.edu

Source: SIAM Journal on Optimization. 2025, Vol. 35 Issue 1, p42-61. 20p.

Subject Terms: *VALUE at risk, STOCHASTIC programming, STOCHASTIC approximation

An extended Oja process for streaming canonical analysis

Authors: Monnez, Jean-Marie

Contributors: Monnez, Jean-Marie

Source: Communications in Statistics - Theory and Methods. :1-15

Subject Terms: incremental learning, streaming linear regression, streaming canonical analysis, stochastic approximation, [MATH] Mathematics [math], projected PCA, [STAT] Statistics [stat]

File Description: application/pdf

Access URL: https://hal.science/hal-04351700v2