A method of finding a stochastic saddle point

DOI10.1016/0041-5553(89)90037-2zbMATH Open0702.90063OpenAlexW2082990920MaRDI QIDQ3481492

N. M. Novikova

Publication date: 1989

Published in: USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0041-5553(89)90037-2

zbMATH Keywords

regularizationprobability constraintsConvergence theoremsnumerical searchstochastic saddle pointconvex-concave objective functionintegral penalty functions methodstochastic quasi-gradients

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Existence of solutions for minimax problems (49J35) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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