Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization

DOI10.1109/TAC.2003.815008zbMATH Open1364.90257OpenAlexW2106216878MaRDI QIDQ5266785FDOQ5266785

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)

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

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