Stochastic optimization methods with constraints

MaRDI QIDQ1112730zbMATH OpenFDO

Authors I. P. Devyaterikov, A. I. Koshlan'

Publication date 1988

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

a priori information about the noiseconstrained optimizationgradient and search proceduresmodified Lagrange multiplier methodmodified penalty estimate methodmodified penalty function methodrate of convergencesurvey of recursive methods

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Nonlinear programming (90C30)

Review text

We give a survey of recursive methods for the solution of optimization problems concentrating on issues of convergence, and rate of convergence, of gradient and search procedures with a priori information about the noise. We consider various types of constraints on the feasible region of the argument of the function to be optimized.

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(7)

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• On constrained simulation and optimization by Metropolis chains
• Stochastic first-order methods with random constraint projection
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