Analogues of switching subgradient schemes for relatively Lipschitz-continuous convex programming problems

DOI10.1007/978-3-030-58657-7_13MaRDI QIDQ4965108zbMATH OpenOpenAlexFDO

Authors Alexander A. Titov, F. S. Stonyakin, Mohammad S. Alkousa, Seydamet S. Ablaev, Alexander V. Gasnikov

Publication date 25 February 2021

Published in Mathematical Optimization Theory and Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.09147

zbMATH Keywords

convex programming probleminexact modelonline optimization problemrelative Lipschitz-continuitystochastic mirror descentswitching subgradient scheme

Mathematics Subject Classification ID

Convex programming (90C25)

Abstract: Recently some specific classes of non-smooth and non-Lipschitz convex optimization problems were selected by Yu.~Nesterov along with H.~Lu. We consider convex programming problems with similar smoothness conditions for the objective function and functional constraints. We introduce a new concept of an inexact model and propose some analogues of switching subgradient schemes for convex programming problems for the relatively Lipschitz-continuous objective function and functional constraints. Some class of online convex optimization problems is considered. The proposed methods are optimal in the class of optimization problems with relatively Lipschitz-continuous objective and functional constraints.

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Cited in

(4)

• Adaptive algorithms for relatively Lipschitz continuous convex optimization problems
• Stochastic incremental mirror descent algorithms with Nesterov smoothing
• Some adaptive first-order methods for variational inequalities with relatively strongly monotone operators and generalized smoothness
• Some primal-dual theory for subgradient methods for strongly convex optimization

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