Stochastic optimization problems with nondifferentiable cost functionals
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Cites work
- A general theory of extremals
- Conjugate convex functions in optimal control and the calculus of variations
- Conjugate convex functions, duality, and optimal control problems. I: Systems governed by ordinary differential equations
- Convex Analysis
- Integrals of set-valued functions
- Measurable dependence of convex sets and functions on parameters
- Optimality Criteria in Nonlinear Programming Without Differentiability
- The Conjugate Residual Method for Constrained Minimization Problems
Cited in
(23)- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- How McFadden met Rockafellar and learned to do more with less
- Minimizing a stochastic convex function subject to stochastic constraints and some applications
- On risk-averse stochastic semidefinite programs with continuous recourse
- Incremental gradient-free method for nonsmooth distributed optimization
- A Saddle Point of aD Inventory Problem
- A Markov decision process with convex reward and its associated stopping game
- Semi-srochastic approximation by the response surface methodology (RMS)
- On stochastic gradient and subgradient methods with adaptive steplength sequences
- Beyond the hazard rate: more perturbation algorithms for adversarial multi-armed bandits
- Stochastic Methods for Composite and Weakly Convex Optimization Problems
- Dual pricing of American options by Wiener chaos expansion
- String-averaging incremental stochastic subgradient algorithms
- Statistics of robust optimization: a generalized empirical likelihood approach
- Optimal transport-based distributionally robust optimization: structural properties and iterative schemes
- Quasidifferentiabilities of the expectation functions of random quasidifferentiable functions
- Stochastic (Approximate) Proximal Point Methods: Convergence, Optimality, and Adaptivity
- Leveraging randomized smoothing for optimal control of nonsmooth dynamical systems
- Exogenous consideration and extended random utility
- Learning in random utility models via online decision problems
- Model-assisted sensitivity analysis for treatment effects under unmeasured confounding via regularized calibrated estimation
- On the dual gradient descent method for the resource allocation problem in multiagent systems
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