Open problem: Iterative schemes for stochastic optimization: convergence statements and limit theorems

DOI10.1287/STSY.2019.0043MaRDI QIDQ5113905zbMATH OpenOpenAlexFDO

Authors Afrooz Jalilzadeh, Jinlong Lei, Uday V. Shanbhag

Publication date 18 June 2020

Published in Stochastic Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• An augmented Lagrangian interior-point method using directions of negative curvature
• ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
• Exploiting negative curvature in deterministic and stochastic optimization
• scientific article; zbMATH DE number 3850830 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• scientific article; zbMATH DE number 6860839 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• Mini-batch stochastic approximation methods for nonconvex stochastic composite optimization
• 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
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• RES: Regularized Stochastic BFGS Algorithm
• Solving variational inequalities with stochastic mirror-prox algorithm
• Stochastic approximation and its applications
• Stochastic optimization using a trust-region method and random models
• The fundamental limit theorems in probability
• Variance-based extragradient methods with line search for stochastic variational inequalities

Cited in

(4)

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

Describes a project that uses

Uses Software

• ASTRO-DF

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