Inexact subgradient methods with applications in stochastic programming
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Projected gradient-type methods are considered for minimizing a function \(f\) on a given subset \(X\) of \(\mathbb{R}^ n\), where the negative step direction \(\xi^ k\) is a subgradient of \(f_ k\) with a sequence \((f_ k)\) of objective function approximations. Sufficient conditions are given for the convergence of this algorithm to the set of optimal solutions. Furthermore, based on the approximations \(f_ k\), methods for the adaptive selection of the step sizes \(s_ k\) are given. The method is applied to the solution of two-stage stochastic linear programs.
Recommendations
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Cited in
(19)- On convergence of the stochastic subgradient method with on-line stepsize rules
- Convergence analysis of some methods for minimizing a nonsmooth convex function
- The stochastic method of generalized Clarke gradients for solving two- stage problems of stochastic programming with coupled variables
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- Suboptimal Policies for Stochastic N-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
- Generalized cutting plane method for solving nonlinear stochastic programming problems
- A Markovian Incremental Stochastic Subgradient Algorithm
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