Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces

DOI10.1137/18M1200208zbMath1426.62238arXiv1807.09132OpenAlexW2965558357MaRDI QIDQ5231699

Caroline Geiersbach, Georg Ch. Pflug

Publication date: 27 August 2019

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.09132

zbMATH Keywords

stochastic approximationstochastic gradient algorithmoptimization in Hilbert spacesrandom elliptic PDEs as constraintsPDE constrained optimization under uncertainty

Mathematics Subject Classification ID

Stochastic approximation (62L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) PDEs in connection with control and optimization (35Q93)

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Uses Software

• FEniCS

Cites Work

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