TY - GEN
T1 - Smoothed First-order Algorithms for Expectation-valued Constrained Problems
AU - Jalilzadeh, Afrooz
AU - Shanbhag, Uday V.
N1 - Publisher Copyright:
© 2019 IEEE.
PY - 2019/4/16
Y1 - 2019/4/16
N2 - We consider the development of first-order algorithms for convex stochastic optimization problems with expectation constraints. By recasting the problem as a solution to a monotone stochastic variational inequality problem, we note that a solution to this problem can be obtained as a solution to an unconstrained nonsmooth convex stochastic optimization problem. We utilize a variance-reduced smoothed first-order scheme for resolving such a problem and derive rate statements for such a scheme.
AB - We consider the development of first-order algorithms for convex stochastic optimization problems with expectation constraints. By recasting the problem as a solution to a monotone stochastic variational inequality problem, we note that a solution to this problem can be obtained as a solution to an unconstrained nonsmooth convex stochastic optimization problem. We utilize a variance-reduced smoothed first-order scheme for resolving such a problem and derive rate statements for such a scheme.
UR - http://www.scopus.com/inward/record.url?scp=85065199715&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85065199715&partnerID=8YFLogxK
U2 - 10.1109/CISS.2019.8692925
DO - 10.1109/CISS.2019.8692925
M3 - Conference contribution
AN - SCOPUS:85065199715
T3 - 2019 53rd Annual Conference on Information Sciences and Systems, CISS 2019
BT - 2019 53rd Annual Conference on Information Sciences and Systems, CISS 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 53rd Annual Conference on Information Sciences and Systems, CISS 2019
Y2 - 20 March 2019 through 22 March 2019
ER -