Decomposition/Coordination Algorithms in Stochastic Optimization

DOI10.1137/0328072MaRDI QIDQ5753111zbMATH OpenOpenAlexFDO

Authors J. C. Culioli, Guy Cohen

Publication date 1990

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0328072

zbMATH Keywords

coupling constraintsstochastic gradient

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Decomposition methods (49M27) Numerical methods involving duality (49M29) Stochastic approximation (62L20) Numerical optimization and variational techniques (65K10) Stochastic network models in operations research (90B15) Stochastic programming (90C15) Discrete-time control/observation systems (93C55)

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(18)

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• A variational inequality based stochastic approximation for inverse problems in stochastic partial differential equations
• Decomposition coordination in deterministic and stochastic optimization
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation
• Decomposition of large-scale stochastic optimal control problems
• Optimization with an Auxiliary Constraint and Decomposition
• IMPERFECT COORDINATION IN OPTIMIZATION
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• Revisiting subgradient method: complexity and convergence beyond Lipschitz continuity
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