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

stochastic gradientcoupling constraints

Mathematics Subject Classification ID

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

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Cited in

(17)

• A variational inequality based stochastic approximation for inverse problems in stochastic partial differential equations
• Projected stochastic gradients for convex constrained problems in Hilbert spaces
• An iteratively regularized stochastic gradient method for estimating a random parameter in a stochastic PDE. A variational inequality approach
• A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty
• IMPERFECT COORDINATION IN OPTIMIZATION
• Divide to conquer: decomposition methods for energy optimization
• Decomposition coordination in deterministic and stochastic optimization
• Optimization with an Auxiliary Constraint and Decomposition
• Stochastic decomposition applied to large-scale hydro valleys management
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• Two-norm discrepancy and convergence of the stochastic gradient method with application to shape optimization
• The stochastic auxiliary problem principle in Banach spaces: measurability and convergence
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
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• Decomposition of large-scale stochastic optimal control problems
• Revisiting subgradient method: complexity and convergence beyond Lipschitz continuity
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation

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