Stochastic iteration for a constrained optimization problem

DOI10.1080/07474948408836045MaRDI QIDQ3725394zbMATH OpenOpenAlexFDO

Authors Harro Walk

Publication date 1983

Published in Communications in Statistics. Part C: Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948408836045

zbMATH Keywords

functional central limit theoremalmost sure convergenceconstrained optimization problemTauberian theoremprimal-dual methodconvex constrained minimizationconvex regression functionsrandom Kuhn-Tucker vectorrandom optimal solution

Mathematics Subject Classification ID

Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)

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Cited in

(8)

• Smoothed Functionals and Constrained Stochastic Approximation
• A method of solving constrained stochastic optimization problems
• Stochastic optimization methods with constraints
• Stochastic first-order methods with random constraint projection
• Stochastic heavy-ball method for constrained stochastic optimization problems
• Iterative decomposition of stochastic optimization problems with first-order partial differential equations
• Asymptotic optimality in stochastic optimization
• scientific article; zbMATH DE number 2188971 (Why is no real title available?)

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