Stochastic heavy-ball method for constrained stochastic optimization problems

DOI10.1007/S40306-019-00357-YMaRDI QIDQ778161zbMATH OpenOpenAlexWikidataFDO

Authors Porntip Promsinchai, A. Farajzadeh, Narin Petrot

Publication date 1 July 2020

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40306-019-00357-y

zbMATH Keywords

constrained stochastic optimization problemconverge almost surelyheavy-ball methodrandom projection method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3449561 (Why is no real title available?)
• A Stochastic Approximation Method
• A randomized Kaczmarz algorithm with exponential convergence
• A survey of nonlinear conjugate gradient methods
• Algorithm 500: Minimization of Unconstrained Multivariate Functions [E4]
• Erratum to: ``Minimizing finite sums with the stochastic average gradient
• Functional Operators (AM-22), Volume 2
• On the Convergence of a New Conjugate Gradient Algorithm
• Projection algorithms: Results and open problems
• Robust Stochastic Approximation Approach to Stochastic Programming
• Some methods of speeding up the convergence of iteration methods
• Stochastic first-order methods with random constraint projection
• The method of projections for finding the common point of convex sets
• The rate of convergence for the cyclic projections algorithm. III: Regularity of convex sets
• Theory of Reproducing Kernels

Cited in

(5)

• Stochastic heavy ball
• Spectral projected gradient method for stochastic optimization
• Optimization under uncertainty using momentum
• A stochastic moving balls approximation method over a smooth inequality constraint
• A stochastic moving ball approximation method for smooth convex constrained minimization

Describes a project that uses

Uses Software

• Algorithm 500

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