METHOD OF AGGREGATE STOCHASTIC SUBGRADIENTS WITH ON-LINE STEPSIZE RULES FOR CONVEX STOCHASTIC PROGRAMMING PROBLEMS.

Andrzej Ruszczynski, Wojciech Syski

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

Abstract

A new stochastic subgradient algorithm for solving convex programming problems is described. It uses an auxiliary filter to stochastic average stochastic subgradients observed and is provided with on-line rules for determining stepsizes and filter gains in the course of computation. Convergence with probability one is proved and numerical examples are described.

Original languageEnglish (US)
Pages (from-to)113-131
Number of pages19
JournalMathematical Programming Study
Issue number28
DOIs
StatePublished - 1986
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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