PENALTY METHODS WITH STOCHASTIC APPROXIMATION FOR STOCHASTIC NONLINEAR PROGRAMMING
文献类型：期刊论文
| 作者 | Wang, Xiao1,2; Ma, Shiqian3; Yuan, Ya-Xiang4
|
| 刊名 | MATHEMATICS OF COMPUTATION
 |
| 出版日期 | 2017-07-01 |
| 卷号 | 86期号:306页码:1793-1820 |
| 关键词 | Stochastic programming nonlinear programming stochastic approximation penalty method global complexity bound |
| ISSN号 | 0025-5718 |
| DOI | 10.1090/mcom/3178 |
| 英文摘要 | In this paper, we propose a class of penalty methods with stochastic approximation for solving stochastic nonlinear programming problems. We assume that only noisy gradients or function values of the objective function are available via calls to a stochastic first-order or zeroth-order oracle. In each iteration of the proposed methods, we minimize an exact penalty function which is nonsmooth and nonconvex with only stochastic first-order or zeroth-order information available. Stochastic approximation algorithms are presented for solving this particular subproblem. The worst-case complexity of calls to the stochastic first-order (or zeroth-order) oracle for the proposed penalty methods for obtaining an epsilon-stochastic critical point is analyzed. |
| 资助项目 | Chinese University of Hong Kong[4055016] ; Hong Kong Research Grants Council General Research Fund Early Career Scheme[CUHK 439513] ; NSFC[11331012] ; NSFC[11321061] ; NSFC[11461161005] ; NSFC[11301505] ; UCAS President Grant[Y35101AY00] ; [119103S175] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000398823400011 |
| 出版者 | AMER MATHEMATICAL SOC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/25270]  |
| 专题 | 计算数学与科学工程计算研究所 |
| 通讯作者 | Wang, Xiao |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing, Peoples R China 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, State Key Lab Sci & Engn Comp, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Xiao,Ma, Shiqian,Yuan, Ya-Xiang. PENALTY METHODS WITH STOCHASTIC APPROXIMATION FOR STOCHASTIC NONLINEAR PROGRAMMING[J]. MATHEMATICS OF COMPUTATION,2017,86(306):1793-1820. |
| APA | Wang, Xiao,Ma, Shiqian,&Yuan, Ya-Xiang.(2017).PENALTY METHODS WITH STOCHASTIC APPROXIMATION FOR STOCHASTIC NONLINEAR PROGRAMMING.MATHEMATICS OF COMPUTATION,86(306),1793-1820. |
| MLA | Wang, Xiao,et al."PENALTY METHODS WITH STOCHASTIC APPROXIMATION FOR STOCHASTIC NONLINEAR PROGRAMMING".MATHEMATICS OF COMPUTATION 86.306(2017):1793-1820. |
入库方式： OAI收割
来源：数学与系统科学研究院
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