Penalty methods with stochastic approximation for stochastic nonlinear programming
نویسندگان
چکیده
منابع مشابه
Penalty methods with stochastic approximation for stochastic nonlinear programming
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 an...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2016
ISSN: 0025-5718,1088-6842
DOI: 10.1090/mcom/3178