Stochastic Gauss-Newton algorithm with STORM estimators for nonconvex composite optimization

DOI10.1007/S12190-022-01722-1zbMATH Open1499.65237OpenAlexW4220922236WikidataQ114206554 ScholiaQ114206554MaRDI QIDQ2103169FDOQ2103169

Zhaoxin Wang, Bo Wen

Publication date: 13 December 2022

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-022-01722-1

zbMATH Keywords

nonconvex optimizationstochastic optimizationmomentumoracle complexity

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• Modified Gauss–Newton scheme with worst case guarantees for global performance
• Statistical estimation of composite risk functionals and risk optimization problems
• Complexity of stochastic dual dynamic programming
• Stochastic variance-reduced prox-linear algorithms for nonconvex composite optimization

Cited In (1)

• Hybrid SGD algorithms to solve stochastic composite optimization problems with application in sparse portfolio selection problems

Uses Software

• Adam

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