Tamas Szantai

Applying random coordinate descent in a probability maximization scheme

  • Edit Csizmás
  • Rajmund Drenyovszki
  • Tamas Szantai
  • Csaba I. Fábián
    • Categories Stochastic Programming Tags , ,

    Gradient computation of multivariate distribution functions calls for considerable effort. A standard procedure is component-wise computation, hence coordinate descent is an attractive choice. This paper deals with constrained convex problems. We apply random coordinate descent in an approximation scheme that is an inexact cutting-plane method from a dual viewpoint. We present convergence proofs and a … Read more

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

  • Csaba I. Fábián
  • Tamas Szantai
    • Categories Nonlinear Optimization, Stochastic Programming Tags , ,

    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. Citation Kecskemet College, Pallasz Athene University. Izsaki ut 10, 6000 Kecskemet, Hungary; … Read more