Algorithms for stochastic optimization with functional or expectation constraints

13 Apr 2016 Guanghui Lan Zhiqiang Zhou

This paper considers the problem of minimizing an expectation function over a closed convex set, coupled with a {\color{black} functional or expectation} constraint on either decision variables or problem parameters. We first present a new stochastic approximation (SA) type algorithm, namely the cooperative SA (CSA), to handle problems with the constraint on devision variables... (read more)

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