Nonlinear programming methods in the presence of noise

DOI10.1007/BF01588952zbMath0379.90080OpenAlexW2055117965MaRDI QIDQ4158820

Boris T. Polyak

Publication date: 1978

Published in: Mathematical Programming (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01588952

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15)

Related Items (18)

A modified Bernstein-technique for estimating noise-perturbed function values ⋮ Stochastic and robust control of nonlinear economic systems ⋮ On finite termination of an inexact proximal point algorithm ⋮ Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization ⋮ Constrained Optimization in the Presence of Noise ⋮ The effect of deterministic noise in subgradient methods ⋮ Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty ⋮ Stochastic programming methods in the response surface methodology ⋮ A stochastic quasi-Newton method for simulation response optimization ⋮ Global optimization of functions by the random optimization method ⋮ A study on distributed optimization over large-scale networked systems ⋮ Feasible direction methods for stochastic programming problems ⋮ Faster subgradient methods for functions with Hölderian growth ⋮ stochastic quasigradient methods and their application to system optimization^† ⋮ Convergence rates of subgradient methods for quasi-convex optimization problems ⋮ Weak subgradient method for solving nonsmooth nonconvex optimization problems ⋮ Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs ⋮ Stochastic modelling and optimization for environmental management

Cites Work

• Stochastic approximation algorithms for constrained optimization problems
• Multiplier methods: A survey
• Convergence and convergence rate of iterative stochastic algorithms. I: General case
• Stochastic approximation type methods for constrained systems: Algorithms and numerical results
• Convex programming in Hilbert space
• A new method for the optimization of a nonlinear function subject to nonlinear constraints
• Convergence of methods of feasible directions in extremal problems
• Variational methods for the solution of problems of equilibrium and vibrations
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