A method of feasible directions for solving nonsmooth stochastic programming problems
Lecture notes in control and information sciencesPublished 1 January 1986
Andrzej Ruszczyński
Citations5
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TL;DR
A method of feasible directions is proposed for solving stochastic programming problems with nonsmooth and nonconvex objectives and convergence with probability 1 to stationary points is proved by means of a special Lyapunov function technique.
Abstract
A method of feasible directions is proposed for solving stochastic programming problems with nonsmooth and nonconvex objectives. Convergence with probability 1 to stationary points is proved by means of a special Lyapunov function technique.
Keywords
Engineering
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