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

rate of convergenceconstrained optimizationa priori information about the noisegradient and search proceduresmodified Lagrange multiplier methodmodified penalty estimate methodmodified penalty function methodsurvey of recursive methods

Mathematics Subject Classification ID

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

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(7)

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• A method of solving constrained stochastic optimization problems
• Stochastic first-order methods with random constraint projection
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• Stochastic iteration for a constrained optimization problem
• On constrained simulation and optimization by Metropolis chains

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