中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
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
DOI10.1090/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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