Open Problem—Iterative Schemes for Stochastic Optimization: Convergence Statements and Limit Theorems

DOI10.1287/STSY.2019.0043zbMATH Open1453.90108OpenAlexW2973323768MaRDI QIDQ5113905FDOQ5113905

Uday V. Shanbhag, Jinlong Lei, Afrooz Jalilzadeh

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/stsy.2019.0043

zbMATH Keywords

stochastic approximationstochastic optimization

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic programming (90C15)

Cites Work

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• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Stochastic Optimization
• RES: Regularized Stochastic BFGS Algorithm
• Stochastic approximation and its applications
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• Mini-batch stochastic approximation methods for nonconvex stochastic composite optimization
• Solving variational inequalities with Stochastic Mirror-Prox algorithm
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• Stochastic optimization using a trust-region method and random models
• An augmented Lagrangian interior-point method using directions of negative curvature
• The fundamental limit theorems in probability
• On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
• On variance reduction for stochastic smooth convex optimization with multiplicative noise
• Variance-Based Extragradient Methods with Line Search for Stochastic Variational Inequalities
• Exploiting negative curvature in deterministic and stochastic optimization

Cited In (3)

• Introduction to the Applied Probability Society’s “Open Problems in Applied Probability” Session at the INFORMS Annual Meeting, Phoenix, Arizona, November 4–7, 2018
• On a Finite Deformation of a Cone
• Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control

Uses Software

• ASTRO-DF

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