Corporative Stochastic Approximation with Random Constraint Sampling for Semi-Infinite Programming

arXiv1812.09017MaRDI QIDQ6311488FDOQ6311488

Authors: Bo Wei, William B. Haskell, Sixiang Zhao 

Publication date: 21 December 2018

Abstract: We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two specific random constraint sampling schemes to approximately solve the cut generation problem. When the objective and constraint functions are generally convex, we show that our randomized CSA algorithms achieve an $mathcalO(1/sqrtN)$ rate of convergence in expectation (in terms of optimality gap as well as SIP constraint violation). When the objective and constraint functions are all strongly convex, this rate can be improved to $mathcalO(1/N)$.

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