Penalty variable sample size method for solving optimization problems with equality constraints in a form of mathematical expectation

DOI10.1007/S11075-019-00699-6MaRDI QIDQ2290926zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Rožnjik, Nataša Krklec Jerinkić

Publication date 29 January 2020

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-019-00699-6

zbMATH Keywords

stochastic optimizationline searchsample average approximationequality constraintsquadratic penalty methodvariable sample size

Mathematics Subject Classification ID

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

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Cited in

(5)

• Sample average approximation for stochastic programming with equality constraints
• AN-SPS: adaptive sample size nonmonotone line search spectral projected subgradient method for convex constrained optimization problems
• An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems
• Variable sample size method for equality constrained optimization problems
• Spectral projected subgradient method for nonsmooth convex optimization problems

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• SUTIL

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