Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization

DOI10.1109/TAC.2003.815008MaRDI QIDQ5266785zbMATH OpenOpenAlexFDO

Authors Ying He, Michael C. Fu, Steven I. Marcus

Publication date 20 June 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2003.815008

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Nonsmooth analysis (49J52)

Cited in

(14)

• Convergence properties of stochastic optimization procedures
• General convergence analysis of stochastic first-order methods for composite optimization
• On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
• Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
• Deterministic and stochastic convergence properties of AIMD algorithms with nonlinear back-off functions
• Stochastic Successive Convex Approximation for Non-Convex Constrained Stochastic Optimization
• Almost sure convergence of extremum seeking algorithm using stochastic perturbation
• Online Statistical Inference for Stochastic Optimization via Kiefer-Wolfowitz Methods
• Convergence of stochastic approximation algorithms under irregular conditions
• Stochastic perturbation of reduced gradient \& GRG methods for nonconvex programming problems
• A simultaneous perturbation stochastic approximation algorithm for coupled well placement and control optimization under geologic uncertainty
• Model-free constrained data-driven iterative reference input tuning algorithm with experimental validation
• Sharp global convergence guarantees for iterative nonconvex optimization with random data
• Gradient estimation using Lagrange interpolation polynomials

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