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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• Exploiting negative curvature in deterministic and stochastic optimization
• 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
• RES: Regularized Stochastic BFGS Algorithm
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• 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)

• 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
• SGDLibrary: a MATLAB library for stochastic optimization algorithms

Describes a project that uses

Uses Software

• ASTRO-DF

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