A Linearization Method for Nonsmooth Stochastic Programming Problems

DOI10.1287/moor.12.1.32zbMath0624.90078OpenAlexW1986324933MaRDI QIDQ3026759

Ruszczyński, Andrzej

Publication date: 1987

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.12.1.32

zbMATH Keywords

Lagrange multipliersLyapunov functionlinearization methodnondifferentiable objective functionquadratic programming subproblemsrecursive stochastic subgradient method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

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