A randomized method for smooth convex minimization, motivated by probability maximization

  • Csaba I. Fábián
  • Tamas Szantai
    • Categories Nonlinear Optimization, Stochastic Programming Tags , , Short URL: https://optimization-online.org/?p=14475

    We propose a randomized gradient method - or a randomized cutting-plane method from a dual viewpoint. From the primal viewpoint, our method bears a resemblance to the stochastic approximation family. But in contrast to stochastic approximation, the present method builds a model problem.

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    Kecskemet College, Pallasz Athene University. Izsaki ut 10, 6000 Kecskemet, Hungary; and Budapest University of Technology and Economics. Muegyetem rkp 3-9, 1111 Budapest, Hungary.

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