Random Multi-Constraint Projection: Stochastic Gradient Methods for Convex Optimization with Many Constraints

12 Nov 2015 Mengdi Wang Yi-Chen Chen Jialin Liu Yuantao Gu

Consider convex optimization problems subject to a large number of constraints. We focus on stochastic problems in which the objective takes the form of expected values and the feasible set is the intersection of a large number of convex sets... (read more)

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