Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm (Q5060780)

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scientific article; zbMATH DE number 7640777
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Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm
scientific article; zbMATH DE number 7640777

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    Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm (English)
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    11 January 2023
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    stochastic approximation
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    linearized proximal method of multipliers
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    expectation constrained stochastic program
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    expected convergence rate
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    high-probability bound
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