A single cut proximal bundle method for stochastic convex composite optimization
From MaRDI portal
Abstract: This paper considers optimization problems where the objective is the sum of a function given by an expectation and a closed convex composite function, and proposes stochastic composite proximal bundle (SCPB) methods for solving it. Complexity guarantees are established for them without requiring knowledge of parameters associated with the problem instance. Moreover, it is shown that they have optimal complexity when these problem parameters are known. To the best of our knowledge, this is the first proximal bundle method for stochastic programming able to deal with continuous distributions. Finally, we present computational results showing that SCPB substantially outperforms the robust stochastic approximation (RSA) method in all instances considered.
This page was built for publication: A single cut proximal bundle method for stochastic convex composite optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6405400)
