We prove convergence of a single time-scale stochastic subgradient method with subgradient averaging for constrained problems with a nonsmooth and nonconvex objective function having the property of generalized differentiability. As a tool of our analysis, we also prove a chain rule on a path for such functions.
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Chain rule
- Generalized differentiable functions
- Nonsmooth optimization
- Stochastic subgradient method