Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization

DOI10.1007/BF02742069zbMath0930.90074OpenAlexW2091787562MaRDI QIDQ1280941

Vladimir I. Norkin, Yury M. Ermoliev

Publication date: 16 February 2000

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02742069

zbMATH Keywords

convergence resultstochastic quasigradient methodnonconvex, nondifferentiable objective functions

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonsmooth analysis (49J52) Stochastic programming (90C15)

Related Items (12)

A stochastic successive minimization method for nonsmooth nonconvex optimization with applications to transceiver design in wireless communication networks ⋮ Solving linear unconstrained problems of combinatorial optimization on arrangements under stochastic uncertainty ⋮ Convergence of constant step stochastic gradient descent for non-smooth non-convex functions ⋮ Stochastic Methods for Composite and Weakly Convex Optimization Problems ⋮ Subgradient Sampling for Nonsmooth Nonconvex Minimization ⋮ Generalized gradients in dynamic optimization, optimal control, and machine learning problems ⋮ Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory ⋮ Catastrophe risk management for sustainable development of regions under risks of natural disasters ⋮ Generalized gradient learning on time series ⋮ Stochastic generalized gradient methods for training nonconvex nonsmooth neural networks ⋮ A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs ⋮ Proximally Guided Stochastic Subgradient Method for Nonsmooth, Nonconvex Problems

Cites Work

• Stochastic quasigradient methods for optimization of discrete event systems
• On nonsmooth and discontinuous problems of stochastic systems optimization
• An optimization problem in queueing theory and a numerical solution method
• A scheme of iterative minimization methods
• The Minimization of Semicontinuous Functions: Mollifier Subgradients
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