| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Univ Sao Paulo, Dept Appl Math & Stat, Inst Math & Comp Sci, Sao Carlos, SP - Brazil
Total Affiliations: 1
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| Document type: | Journal article |
| Source: | OPTIMIZATION METHODS & SOFTWARE; v. 34, n. 3, p. 665-692, MAY 4 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
We present a method to solve constrained convex stochastic optimization problems when the objective is a finite sum of convex functions . Our method is based on Incremental Stochastic Subgradient Algorithms and String-Averaging techniques, with an assumption that the subgradient directions are affected by random errors in each iteration. Our analysis allows the method to perform approximate projections onto the feasible set in each iteration. We provide convergence results for the case where a diminishing step-size rule is used. We test our method in a large set of random instances of a stochastic convex programming problem and we compare its performance with the robust mirror descent stochastic approximation algorithm proposed in Nemirovski et al. (Robust stochastic approximation approach to stochastic programming, SIAM J Optim 19 (2009), pp. 15741609). (AU) | |
| FAPESP's process: | 15/10171-2 - Incremental methods and String-Averaging for non-differentiable convex optimization with inaccurate Subgradients |
| Grantee: | Rafael Massambone de Oliveira |
| Support Opportunities: | Scholarships in Brazil - Doctorate |
| FAPESP's process: | 13/19380-8 - Control and filtering of stochastic systems |
| Grantee: | Eduardo Fontoura Costa |
| Support Opportunities: | Regular Research Grants |
| FAPESP's process: | 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry |
| Grantee: | Francisco Louzada Neto |
| Support Opportunities: | Research Grants - Research, Innovation and Dissemination Centers - RIDC |
| FAPESP's process: | 13/16508-3 - Fast computation of the generalized Backprojection operator with applications in tomographic image reconstruction |
| Grantee: | Elias Salomão Helou Neto |
| Support Opportunities: | Regular Research Grants |
| FAPESP's process: | 17/20934-9 - Filtering and control of jump parameter systems |
| Grantee: | Eduardo Fontoura Costa |
| Support Opportunities: | Regular Research Grants |