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Avtomatika i Telemekhanika, 2016, Issue 10, Pages 57–77 (Mi at14565)  
This article is cited in 19 scientific papers (total in 19 papers)

Stochastic Systems, Queuing Systems

Gradient-free proximal methods with inexact oracle for convex stochastic nonsmooth optimization problems on the simplex

A. V. Gasnikovab, A. A. Lagunovskayaca, I. N. Usmanovaab, F. A. Fedorenkoa

a Moscow Institute of Physics and Technology (State University), Moscow, Russia
b Institute for Information Transmission Problems (Kharkevich Institute), Russian Academy of Sciences, Moscow, Russia
c Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (729 kB) Citations (19)
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Abstract: In this paper we propose a modification of the mirror descent method for non-smooth stochastic convex optimization problems on the unit simplex. The optimization problems considered differ from the classical ones by availability of function values realizations. Our purpose is to derive the convergence rate of the method proposed and to determine the level of noise that does not significantly affect the convergence rate.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-00722-а
15-31-20571 мол_а_вед
Russian Science Foundation 14-50-00150
This work was supported by the Russian Foundation for Basic Research, projects nos. 14-01-00722-a, 15-31-20571 mol_a_ved. The research of the first author (Theorem 2) was performed at the Kharkevich Institute for Information Transmission Problems of the Russian Academy of Sciences and supported by the Russian Science Foundation, project no. 14-50-00150.
Presented by the member of Editorial Board: P. S. Shcherbakov

Received: 12.03.2015
English version:
Automation and Remote Control, 2016, Volume 77, Issue 11, Pages 2018–2034
DOI: https://doi.org/10.1134/S0005117916110114
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Gasnikov, A. A. Lagunovskaya, I. N. Usmanova, F. A. Fedorenko, “Gradient-free proximal methods with inexact oracle for convex stochastic nonsmooth optimization problems on the simplex”, Avtomat. i Telemekh., 2016, no. 10, 57–77; Autom. Remote Control, 77:11 (2016), 2018–2034
Citation in format AMSBIB
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\by A.~V.~Gasnikov, A.~A.~Lagunovskaya, I.~N.~Usmanova, F.~A.~Fedorenko
\paper Gradient-free proximal methods with inexact oracle for convex stochastic nonsmooth optimization problems on the simplex
\jour Avtomat. i Telemekh.
\yr 2016
\issue 10
\pages 57--77
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\transl
\jour Autom. Remote Control
\yr 2016
\vol 77
\issue 11
\pages 2018--2034
\crossref{https://doi.org/10.1134/S0005117916110114}
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    • This publication is cited in the following 19 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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