A stochastic successive minimization method for nonsmooth nonconvex optimization with applications to transceiver design in wireless communication networks

DOI10.1007/S10107-016-1021-7MaRDI QIDQ301668zbMATH OpenOpenAlexFDO

Authors Meisam Razaviyayn, Maziar Sanjabi, Zhi-Quan Luo

Publication date 1 July 2016

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

Full work available at URL https://arxiv.org/abs/1307.4457

zbMATH Keywords

sample average approximationinner approximationstochastic beamformer designstochastic successive upper-bound minimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Communication networks in operations research (90B18)

Abstract: Consider the problem of minimizing the expected value of a cost function parameterized by a random variable. The classical sample average approximation (SAA) method for solving this problem requires minimization of an ensemble average of the objective at each step, which can be expensive. In this paper, we propose a stochastic successive upper-bound minimization method (SSUM) which minimizes an approximate ensemble average at each iteration. To ensure convergence and to facilitate computation, we require the approximate ensemble average to be a locally tight upper-bound of the expected cost function and be easily optimized. The main contributions of this work include the development and analysis of the SSUM method as well as its applications in linear transceiver design for wireless communication networks and online dictionary learning. Moreover, using the SSUM framework, we extend the classical stochastic (sub-)gradient (SG) method to the case of minimizing a nonsmooth nonconvex objective function and establish its convergence.

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Cited in

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