Methods for solving constrained extremum problems in the presence of random noise

DOI10.1016/0041-5553(79)90067-3MaRDI QIDQ3869088zbMATH OpenOpenAlexFDO

Authors Boris T. Polyak

Publication date 1979

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(79)90067-3

zbMATH Keywords

constrained extremum problemsequality constraintsinexact gradientsinexact objective function valuesLagrange multiplierspenalty estimatespenalty functionsprobabilistic convergence analysisrandom noisesolution methods

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

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