Inexact subgradient methods with applications in stochastic programming

DOI10.1007/BF01582059zbMATH Open0807.90089OpenAlexW2012437081MaRDI QIDQ1315432FDOQ1315432

Kelly T. Au, Julia L. Higle, Suvrajeet Sen

Publication date: 10 March 1994

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01582059

zbMATH Keywords

convergencesubgradientprojected gradient-type methodstwo-stage stochastic linear programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Cites Work

• Stochastic approximation methods for constrained and unconstrained systems
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• Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
• On the Convergence of Algorithms with Implications for Stochastic and Nondifferentiable Optimization
• A generalization of Polyak's convergence result for subgradient optimization
• Optimal step sizes in semi-stochastic approximation procedures. I
• A class of convergent primal-dual subgradient algorithms for decomposable convex programs
• A Linearization Method for Nonsmooth Stochastic Programming Problems
• Approximation methods of solution of stochastic programming problems
• Solution of limiting extremal problems for minimizing functionals
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Cited In (10)

• A Markovian Incremental Stochastic Subgradient Algorithm
• Convergence analysis of some methods for minimizing a nonsmooth convex function
• Suboptimal Policies for Stochastic $$N$$-Stage Optimization: Accuracy Analysis and a Case Study from Optimal Consumption
• An SQP-type method and its application in stochastic programs
• Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms
• A primal-dual approach to inexact subgradient methods
• Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning
• The Adaptive Projected Subgradient Method over the Fixed Point Set of Strongly Attracting Nonexpansive Mappings
• An algorithm for approximating piecewise linear concave functions from sample gradients
• Title not available (Why is that?)

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