Stochastic heavy-ball method for constrained stochastic optimization problems

DOI10.1007/s40306-019-00357-yzbMath1446.90119OpenAlexW2999694865WikidataQ126347047 ScholiaQ126347047MaRDI QIDQ778161

Narin Petrot, Porntip Promsinchai, A. P. Farajzadeh

Publication date: 1 July 2020

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40306-019-00357-y

zbMATH Keywords

constrained stochastic optimization problemconverge almost surelyheavy-ball methodrandom projection method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

Uses Software

• Algorithm 500

Cites Work

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• Erratum to: ``Minimizing finite sums with the stochastic average gradient
• The rate of convergence for the cyclic projections algorithm. III: Regularity of convex sets
• A randomized Kaczmarz algorithm with exponential convergence
• Stochastic First-Order Methods with Random Constraint Projection
• Robust Stochastic Approximation Approach to Stochastic Programming
• Algorithm 500: Minimization of Unconstrained Multivariate Functions [E4]
• On the Convergence of a New Conjugate Gradient Algorithm
• Some methods of speeding up the convergence of iteration methods
• The method of projections for finding the common point of convex sets
• Theory of Reproducing Kernels
• Functional Operators (AM-22), Volume 2
• A Stochastic Approximation Method

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