Article PDF
Explore related subjects
Discover the latest articles, news and stories from top researchers in related subjects.Avoid common mistakes on your manuscript.
References
Yu. M. Ermoliev and V. I. Norkin, “On nonsmooth and discontinuous problems of stochastic systems optimization,” Eur. J. Oper. Res.,101, 230–244 (1997).
Yu. M. Ermoliev, V. I. Norkin, and R. J.-B. Wets, “The minimization of semicontinuous functions: mollifier subgradients,” SIAM J. Contr. Optim.,33, No. 1, 149–167 (1995).
P. Glynn, Optimization of Stochastic Systems via Simulation, Technical Report No. 43, Stanford University, Palo Alto, CA (1989).
Y. G. Ho and X. R. Cao, Discrete Event Dynamic Systems and Perturbation Analysis, Kluwer, Boston (1991).
R. Suri, “Perturbation analysis: the state of the art and research issues explained via the GI/G/1 queue,” Proc. IEEE,77, No. 1,114–137 (1989).
A. A. Gaivoronski, “Optimization of stochastic discrete event dynamic systems: a survey of some recent results,” in: Simulation and Optimization, Lect. Notes Econ. Math. Sys., Vol. 374, G. Pflug and U. Dieter (eds.), Springer, Berlin, (1992), pp. 24–44.
R. Y. Rubinstein and A. Shapiro, The Optimization of Discrete Event Dynamic Systems by the Score Function Method, Wiley, New York (1993).
A. M. Gupal, Stochastic Methods for Solving Nonsmooth Extremal Problems [in Russian], Naukova Dumka, Kiev (1979).
Yu. Ermoliev and A. Gaivoronski, “Stochastic programming techniques for optimization of discrete event systems,” Ann. Oper. Res.,39, 120–135 (1992).
V. I. Norkin, “Nonlocal optimization algorithms for nonsmooth functions,” Kibernetika, No. 5, 75–79 (1978).
P. A. Dorofeev, “Some properties of the generalized gradient method,” Zh. Vychisl. Matem. Mat. Fiz., 25, No. 2, 181–189 (1985).
P. A. Dorofeev, “General scheme of iterative minimization methods,” Zh. Vychisl. Matem. Mat. Fiz.,26, No. 4, 536–544 (1986).
N. K. Krivulin, Optimization of Discrete Event Dynamic Systems by Simulation [in Russian], Abstract of thesis, Leningrad Univ. (1990).
N. K. Krivulin, “Optimization of complex systems by simulation,” Vestnik Leningrad. Univ., No. 8, 100–102 (1990).
F. Mirzoakhmedov, “Optimization of a queueing system and a numerical solution method,” Kibernetika, No. 3, 73–75 (1990).
V. S. Mikhalevich, A. M. Gupal, and V. I. Norkin, Nonconvex Optimization Methods [in Russian], Nauka, Moscow (1987).
F. Clarke, Optimization and Nonsmooth Analysis [Russian translation], Nauka, Moscow (1988).
Yu. E. Nesterov, Effective Methods in Nonlinear Programming [in Russian], Radio i Svyaz', Moscow (1989).
N. Z. Shor, Methods for Minimization of Nondifferentiable Functions and Their Applications [in Russian], Naukova Dumka, Kiev (1979).
Yu. M. ErmoFev, Stochastic Programming Methods [in Russian], Nauka, Moscow (1976).
B. T. Polyak, An Introduction to Optimization [in Russian], Nauka, Moscow (1983).
E. A. Nurminskii, Numerical Methods for Solving Deterministic and Stochastic Minmax Problems [in Russian], Naukova Dumka, Kiev (1979).
A. M. Gupal and L. G. Bazhenov, “Stochastic analogue of the conjugate gradient method,” Kibernetika, No. 1, 125–126 (1972).
A. M. Gupal and L. G. Bazhenov, “Stochastic linearization method,” Kibernetika, No. 3, 116–117 (1972).
A. Ruszczynski, “A method of feasible directions for solving nonsmooth stochastic programming problems,” in: Lect. Notes Contr. Inform. Sei., F. Archetti, G. Di Pillo, and M. Lucertini (eds.), Springer, Berlin (1986), pp. 258–271.
Additional information
Translated from Kibernetika i Sistemnyi Analiz, No. 2, pp. 50–71, March–April, 1998.
Rights and permissions
About this article
Cite this article
Ermol'ev, Y.M., Norkin, V.I. Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization. Cybern Syst Anal 34, 196–215 (1998). https://doi.org/10.1007/BF02742069
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF02742069