Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm
DOI10.1287/IJOC.2022.1228OpenAlexW4287114902MaRDI QIDQ5060780FDOQ5060780
Authors: Yu-Le Zhang, Jia Wu, Xiantao Xiao, Liwei Zhang 
Publication date: 11 January 2023
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.11577
Recommendations
- scientific article; zbMATH DE number 819402
- Stochastic Approximation Proximal Method of Multipliers for Convex Stochastic Programming
- Stochastic inexact augmented Lagrangian method for nonconvex expectation constrained optimization
- Algorithms for stochastic optimization with function or expectation constraints
- Adaptive primal-dual stochastic gradient method for expectation-constrained convex stochastic programs
stochastic approximationhigh-probability boundexpectation constrained stochastic programexpected convergence ratelinearized proximal method of multipliers
Cites Work
- Acceleration of Stochastic Approximation by Averaging
- First-order methods in optimization
- A Stochastic Approximation Method
- A Newton-CG augmented Lagrangian method for semidefinite programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- Title not available (Why is that?)
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Optimization with Stochastic Dominance Constraints
- Title not available (Why is that?)
- Gradient sliding for composite optimization
- Title not available (Why is that?)
- A Neyman–Pearson Approach to Statistical Learning
- Computational assessment of nested Benders and augmented Lagrangian decomposition for mean-variance multistage stochastic problems
- New method of stochastic approximation type
- Algorithms for stochastic optimization with function or expectation constraints
- Optimization methods for large-scale machine learning
- Adaptive primal-dual stochastic gradient method for expectation-constrained convex stochastic programs
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- Augmented Lagrangian methods for solving optimization problems with stochastic-order constraints
- An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems
- First-order and stochastic optimization methods for machine learning
- Stochastic Successive Convex Approximation for Non-Convex Constrained Stochastic Optimization
- Constrained Online Convex Optimization With Feedback Delays
- Conservative Stochastic Optimization With Expectation Constraints
- A data efficient and feasible level set method for stochastic convex optimization with expectation constraints
Cited In (2)
Uses Software
This page was built for publication: Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5060780)
