Abstract
A stochastic subgradient method for solving convex stochastic programming problems is considered. New on-line rules for determining stepsizes are derived from the concept of local regularized improvement functions. Convergence with probability 1 of the whole method is established.
Original language | English (US) |
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Pages (from-to) | 512-527 |
Number of pages | 16 |
Journal | Journal of Mathematical Analysis and Applications |
Volume | 114 |
Issue number | 2 |
DOIs | |
State | Published - Mar 1986 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Analysis
- Applied Mathematics