A Stochastic Smoothing Algorithm for Semidefinite Programming
نویسندگان
چکیده
منابع مشابه
A Stochastic Smoothing Algorithm for Semidefinite Programming
We use rank one Gaussian perturbations to derive a smooth stochastic approximation of the maximum eigenvalue function. We then combine this smoothing result with an optimal smooth stochastic optimization algorithm to produce an efficient method for solving maximum eigenvalue minimization problems, and detail a variant of this stochastic algorithm with monotonic line search. Overall, compared to...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2014
ISSN: 1052-6234,1095-7189
DOI: 10.1137/12088728x