A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems

DOI10.1007/BFB0121128zbMATH Open0597.90064MaRDI QIDQ3731371FDOQ3731371

Authors: Andrzej Ruszczyński, Wojciech Syski 

Publication date: 1986

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

Recommendations

• On convergence of the stochastic subgradient method with on-line stepsize rules
• A method of stochastic subgradients with complete feedback stepsize rule for convex stochastic approximation problems
• Inexact subgradient methods with applications in stochastic programming
• Publication:3026772
• scientific article; zbMATH DE number 3987057

zbMATH Keywords

nondifferentiable programmingstochastic subgradient algorithmauxiliary filter

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Nonlinear programming (90C30) Stochastic programming (90C15)

Cited In (17)

• Algorithms for stochastic optimization with function or expectation constraints
• A method of stochastic subgradients with complete feedback stepsize rule for convex stochastic approximation problems
• An optimal method for stochastic composite optimization
• Stochastic quasigradient methods for optimization of discrete event systems
• On the information-adaptive variants of the ADMM: an iteration complexity perspective
• String-averaging incremental stochastic subgradient algorithms
• Title not available (Why is that?)
• A sparsity preserving stochastic gradient methods for sparse regression
• A numerical method for solving stochastic programming problems with moment constraints on a distribution function
• Adaptive stepsizes for recursive estimation with applications in approximate dynamic programming
• Stochastic Quasi-Newton Methods for Nonconvex Stochastic Optimization
• Penalty methods with stochastic approximation for stochastic nonlinear programming
• Title not available (Why is that?)
• Monotone methods with averaging of subgradients and their stochastic finite-difference analogs
• Differentiability of the integral over a set defined by inclusion
• Mean-variance risk-averse optimal control of systems governed by PDEs with random parameter fields using quadratic approximations
• On convergence of the stochastic subgradient method with on-line stepsize rules

This page was built for publication: A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3731371)