Stochastic Algorithms for the Estimation of an Optimal Solution of a LP Problem. Convergence and Central Limit Theorem |
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| Authors: | Tomás Prieto-Rumeau |
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| Affiliation: | 1. Departamento de Estadística , Universidad Nacional de Educación a Distancia , Madrid, Spain tprieto@ccia.uned.es |
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| Abstract: | In this article, we consider a Linear Programming (LP) problem with unknown objective function. We introduce a class of stochastic algorithms to estimate an optimal solution of the LP problem. The almost sure convergence and the speed of convergence of these algorithms are analyzed. We also prove a central limit theorem for the estimation errors of the algorithms. |
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| Keywords: | Central limit theorem Stochastic algorithms Stochastic approximation |
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