RT Journal Article
SR 00
ID 10.1023/B:CASA.0000012091.84864.65
A1 Ermoliev, Y.
A1 Norkin, V. I.
T1 Solution of Nonconvex Nonsmooth Stochastic Optimization Problems
JF Cybernetics and Systems Analysis
YR 2003
FD 2003
VO 39
IS 5
SP 701
OP 715
K1 Nonconvex optimization problems; Nonsmooth functions; Stochastic programming; Stochastic quasigradient; Uncertainty
AB 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.
PB Springer
SN 1060-0396
LK https://pure.iiasa.ac.at/id/eprint/13482/