{"title":"Smoothed First-order Algorithms for Expectation-valued Constrained Problems","authors":"A. Jalilzadeh, U. Shanbhag","doi":"10.1109/CISS.2019.8692925","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":123696,"journal":{"name":"2019 53rd Annual Conference on Information Sciences and Systems (CISS)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2019 53rd Annual Conference on Information Sciences and Systems (CISS)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CISS.2019.8692925","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
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.
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