Iterative decomposition of stochastic optimization problems with first-order partial differential equations

DOI10.1016/0041-5553(82)90128-8MaRDI QIDQ3324533zbMATH OpenOpenAlexFDO

Authors Yu. A. Below

Publication date 1982

Published in USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0041-5553(82)90128-8

zbMATH Keywords

boundary controlstochastic coefficientsiterative decomposition

Mathematics Subject Classification ID

Initial-boundary value problems for first-order hyperbolic systems (35L50) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55) Decomposition methods (49M27) Optimal stochastic control (93E20) First-order hyperbolic systems (35L40)

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Cited in

(4)

• General convergence analysis of stochastic first-order methods for composite optimization
• Stochastic First- and Zeroth-Order Methods for Nonconvex Stochastic Programming
• Iterative stochastic methods for solving variational problems of mathematical physics and operations research
• Stochastic first-order methods with random constraint projection

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