Solution of Nonconvex Nonsmooth Stochastic Optimization Problems

Ermoliev Y & Norkin V I (2003). Solution of Nonconvex Nonsmooth Stochastic Optimization Problems. Cybernetics and Systems Analysis 39 (5): 701-715. DOI:10.1023/B:CASA.0000012091.84864.65.

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Different classes of nonconvex nonsmooth stochastic optimization problems are analyzed, their generalized differentiability properties and necessary optimality conditions are studied, and a technique for calculating stochastic gradients is developed. For each class of the problems, corresponding solution methods are proposed, in particular, generalizations of the stochastic quasigradient method.

Item Type: Article
Uncontrolled Keywords: Nonconvex optimization problems; Nonsmooth functions; Stochastic programming; Stochastic quasigradient; Uncertainty
Depositing User: Luke Kirwan
Date Deposited: 29 Jul 2016 10:10
Last Modified: 25 Jan 2017 14:30

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