Randomized smoothing for stochastic optimization. (English) Zbl 1267.65063
The convergence rates of stochastic optimization algorithms for nonsmooth convex optimization problems are analyzed. The authors also discuss several applications of the proposed results to statistical estimation problems. Some experimental results are provided to demonstrate the effectiveness of the proposed algorithms.
Reviewer: Guoqiang Wang (Shanghai)
MSC:
65K05 | Numerical mathematical programming methods |
90C15 | Stochastic programming |
90C25 | Convex programming |