Optimization of the quantile criterion for the convex loss function by a stochastic quasigradient algorithm

被引：0

作者：

Andrey Kibzun

Evgeniy Matveev

机构：

[1] Moscow Aviation Institute,

来源：

Annals of Operations Research | 2012年 / 200卷

关键词：

Stochastic quasigradient algorithm; Quantile function; Order statistics; The Minkowski inequality; Convergence almost surely; Quasiconcavity of the probability measure;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

A stochastic quasigradient algorithm is suggested for solving the quantile optimization problem with a convex loss function. The algorithm is based on stochastic finite-difference approximations of gradients of the quantile function by using the order statistics. The algorithm convergence almost surely is proved.

引用

页码：183 / 198

页数：15

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