Stochastic semidefinite optimization using sampling methods

DOI10.1007/978-3-319-27680-9_6MaRDI QIDQ5281605zbMATH OpenOpenAlexFDO

Authors Chuan Xu, Jianqiang Cheng, Abdel Lisser

Publication date 26 July 2017

Published in Operations Research and Enterprise Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-27680-9_6

zbMATH Keywords

chance-constrained programminglinear matrix inequalitiessample approximationsemidefinite programstochastic programming

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(10)

• Stochastic accelerated alternating direction method of multipliers with importance sampling
• Boosted sampling
• Greedy Sampling Using Nonlinear Optimization
• Large Sample Mean-Field Stochastic Optimization
• Subsampling algorithms for semidefinite programming
• Semidefinite programming for chance constrained optimization over semialgebraic sets
• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
• A stochastic approximation method for convex programming with many semidefinite constraints
• Stochastic gradient descent, weighted sampling, and the randomized Kaczmarz algorithm
• Stochastic semidefinite programming: a new paradigm for stochastic optimization

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