A method of finding a stochastic saddle point

DOI10.1016/0041-5553(89)90037-2MaRDI QIDQ3481492zbMATH OpenOpenAlexFDO

Authors N. M. Novikova

Publication date 1989

Published in USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0041-5553(89)90037-2

zbMATH Keywords

Convergence theoremsconvex-concave objective functionintegral penalty functions methodnumerical searchprobability constraintsregularizationstochastic quasi-gradientsstochastic saddle point

Mathematics Subject Classification ID

Existence of solutions for minimax problems (49J35) Numerical mathematical programming methods (65K05) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic programming (90C15)

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