Accelerated Stochastic Variance Reduction for a Class of Convex Optimization Problems
Author
Abstract
Suggested Citation
DOI: 10.1007/s10957-022-02157-1
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Zhongming Wu & Min Li, 2019. "General inertial proximal gradient method for a class of nonconvex nonsmooth optimization problems," Computational Optimization and Applications, Springer, vol. 73(1), pages 129-158, May.
- A. Shapiro & Y. Wardi, 1996. "Convergence Analysis of Stochastic Algorithms," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 615-628, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sun, Haoze & Weng, Chengguo & Zhang, Yi, 2017. "Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 197-214.
- Zhili Ge & Zhongming Wu & Xin Zhang & Qin Ni, 2023. "An extrapolated proximal iteratively reweighted method for nonconvex composite optimization problems," Journal of Global Optimization, Springer, vol. 86(4), pages 821-844, August.
- Flam, Sjur Didrik & Mirman, Leonard J., 1998. "Groping for optimal growth," Journal of Economic Dynamics and Control, Elsevier, vol. 23(2), pages 191-207, September.
- Wang, Honggang, 2012. "Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation," European Journal of Operational Research, Elsevier, vol. 217(1), pages 141-148.
- Nataša Krejić & Nataša Krklec Jerinkić, 2019. "Spectral projected gradient method for stochastic optimization," Journal of Global Optimization, Springer, vol. 73(1), pages 59-81, January.
- Caroline Geiersbach & Teresa Scarinci, 2021. "Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces," Computational Optimization and Applications, Springer, vol. 78(3), pages 705-740, April.
- Huifu Xu & Fanwen Meng, 2007. "Convergence Analysis of Sample Average Approximation Methods for a Class of Stochastic Mathematical Programs with Equality Constraints," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 648-668, August.
- Min Li & Zhongming Wu, 2019. "Convergence Analysis of the Generalized Splitting Methods for a Class of Nonconvex Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 535-565, November.
- Johannes Royset, 2013. "On sample size control in sample average approximations for solving smooth stochastic programs," Computational Optimization and Applications, Springer, vol. 55(2), pages 265-309, June.
- Hachicha, Wafik & Ammeri, Ahmed & Masmoudi, Faouzi & Chachoub, Habib, 2010. "A comprehensive literature classification of simulation optimisation methods," MPRA Paper 27652, University Library of Munich, Germany.
- Szilárd Csaba László, 2023. "A Forward–Backward Algorithm With Different Inertial Terms for Structured Non-Convex Minimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 387-427, July.
- Liujia Hu & Sigrún Andradóttir, 2019. "An Asymptotically Optimal Set Approach for Simulation Optimization," INFORMS Journal on Computing, INFORMS, vol. 31(1), pages 21-39, February.
- J. O. Royset & E. Polak, 2007. "Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions," Journal of Optimization Theory and Applications, Springer, vol. 133(1), pages 1-18, April.
- Xiaoqi Yang & Chenchen Zu, 2022. "Convergence of Inexact Quasisubgradient Methods with Extrapolation," Journal of Optimization Theory and Applications, Springer, vol. 193(1), pages 676-703, June.
- Powell, Warren B., 2019. "A unified framework for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 275(3), pages 795-821.
- Angelina Ilchenko & Vladimir Chernov & Elena Butko, 2019. "Stochastic Optimization Model of Medium-Term Forecasting of Reserve of Financial Resources for Natural Fires Elimination," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 7-15.
- Xiaojun Chen & Masao Fukushima, 2005. "Expected Residual Minimization Method for Stochastic Linear Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 30(4), pages 1022-1038, November.
- Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023. "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers 2303.08968, arXiv.org.
- Zhongming Wu & Chongshou Li & Min Li & Andrew Lim, 2021. "Inertial proximal gradient methods with Bregman regularization for a class of nonconvex optimization problems," Journal of Global Optimization, Springer, vol. 79(3), pages 617-644, March.
More about this item
Keywords
Katyusha momentum; Variance reduction; Finite-sum optimization; Convex optimization;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:196:y:2023:i:3:d:10.1007_s10957-022-02157-1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.