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Simultaneous perturbation stochastic approximation of nonsmooth functions

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  • Bartkute, Vaida
  • Sakalauskas, Leonidas

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  • Bartkute, Vaida & Sakalauskas, Leonidas, 2007. "Simultaneous perturbation stochastic approximation of nonsmooth functions," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1174-1188, September.
    • Handle: RePEc:eee:ejores:v:181:y:2007:i:3:p:1174-1188
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    References listed on IDEAS

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    1. Sakalauskas, Leonidas L., 2002. "Nonlinear stochastic programming by Monte-Carlo estimators," European Journal of Operational Research, Elsevier, vol. 137(3), pages 558-573, March.
    2. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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    Cited by:

    1. V. Bartkutė & L. Sakalauskas, 2009. "Statistical Inferences for Termination of Markov Type Random Search Algorithms," Journal of Optimization Theory and Applications, Springer, vol. 141(3), pages 475-493, June.

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