Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization

被引：18
|
作者：
Ruszczynski, Andrzej [1 ]
机构：
[1] Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA
来源：
OPTIMIZATION LETTERS | 2020年 / 14卷 / 07期
关键词：
Stochastic subgradient method; Nonsmooth optimization; Generalized differentiable functions; Chain rule;
D O I：
10.1007/s11590-020-01537-8
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：1615 / 1625
页数：11
相关论文
共 50 条
  • [1] Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization
    Andrzej Ruszczyński
    [J]. Optimization Letters, 2020, 14 : 1615 - 1625
  • [2] A STOCHASTIC SUBGRADIENT METHOD FOR NONSMOOTH NONCONVEX MULTILEVEL COMPOSITION OPTIMIZATION
    Ruszczynski, Andrzej
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 59 (03) : 2301 - 2320
  • [3] Stochastic subgradient algorithm for nonsmooth nonconvex optimization
    Gulcin Dinc Yalcin
    [J]. Journal of Applied Mathematics and Computing, 2024, 70 : 317 - 334
  • [4] Stochastic subgradient algorithm for nonsmooth nonconvex optimization
    Yalcin, Gulcin Dinc
    [J]. JOURNAL OF APPLIED MATHEMATICS AND COMPUTING, 2024, 70 (01) : 317 - 334
  • [5] Subgradient Method for Nonconvex Nonsmooth Optimization
    A. M. Bagirov
    L. Jin
    N. Karmitsa
    A. Al Nuaimat
    N. Sultanova
    [J]. Journal of Optimization Theory and Applications, 2013, 157 : 416 - 435
  • [6] Subgradient Method for Nonconvex Nonsmooth Optimization
    Bagirov, A. M.
    Jin, L.
    Karmitsa, N.
    Al Nuaimat, A.
    Sultanova, N.
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2013, 157 (02) : 416 - 435
  • [7] PROXIMALLY GUIDED STOCHASTIC SUBGRADIENT METHOD FOR NONSMOOTH, NONCONVEX PROBLEMS
    Davis, Damek
    Grimmer, Benjamin
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2019, 29 (03) : 1908 - 1930
  • [8] On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
    Andre Milzarek
    Xiantao Xiao
    Zaiwen Wen
    Michael Ulbrich
    [J]. Science China Mathematics, 2022, 65 (10) : 2151 - 2170
  • [9] On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
    Milzarek, Andre
    Xiao, Xiantao
    Wen, Zaiwen
    Ulbrich, Michael
    [J]. SCIENCE CHINA-MATHEMATICS, 2022, 65 (10) : 2151 - 2170
  • [10] On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
    Andre Milzarek
    Xiantao Xiao
    Zaiwen Wen
    Michael Ulbrich
    [J]. Science China Mathematics, 2022, 65 : 2151 - 2170
12345