Adaptive primal-dual stochastic gradient method for expectation-constrained convex stochastic programs

DOI10.1007/s12532-021-00214-wzbMath1489.90093arXiv2012.14943OpenAlexW3114952797MaRDI QIDQ2146450

Yonggui Yan, Yang-yang Xu

Publication date: 16 June 2022

Published in: Mathematical Programming Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.14943

zbMATH Keywords

adaptive methodssaddle-point problemstochastic gradient methodexpectation-constrained stochastic optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Methods of reduced gradient type (90C52)

Related Items (3)

APriD ⋮ Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm ⋮ Stochastic inexact augmented Lagrangian method for nonconvex expectation constrained optimization

Uses Software

• UCI-ml
• CVX
• AdaGrad
• RMSprop
• Adam
• ADADELTA

Cites Work

• ADADELTA
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• A Level-Set Method for Convex Optimization with a Feasible Solution Path
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• Primal-Dual Stochastic Gradient Method for Convex Programs with Many Functional Constraints
• Solving variational inequalities with Stochastic Mirror-Prox algorithm
• Optimal Primal-Dual Methods for a Class of Saddle Point Problems
• The Scenario Approach to Robust Control Design
• Neyman-Pearson classification, convexity and stochastic constraints
• A Stochastic Approximation Method
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