Solution of Nonconvex Nonsmooth Stochastic Optimization Problems

Solution of Nonconvex Nonsmooth Stochastic Optimization Problems

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 sol...

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Veröffentlicht in:Cybernetics and systems analysis 2003-09, Vol.39 (5), p.701-715
Hauptverfasser: Ermoliev, Yu. M., Norkin, V. I.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Cybernetics
Estimates
Expected utility
Insurance applications
Methods
Optimization
Optimization techniques
Precipitation
Stochastic models
Studies
Systems analysis
Uncertainty
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Zusammenfassung: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. [PUBLICATION ABSTRACT]
ISSN:1060-0396
1573-8337
DOI:10.1023/B:CASA.0000012091.84864.65