Convergence of a Stochastic Subgradient Method with Averaging for Nonsmooth Nonconvex Constrained Optimization

Andrzej Ruszczynski

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arXiv · 1912.07580

Convergence of a Stochastic Subgradient Method with Averaging for Nonsmooth Nonconvex Constrained Optimization

Andrzej Ruszczynski

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Abstract

We prove convergence of a single time-scale stochastic subgradient method with subgradient averaging for constrained problems with a nonsmooth and nonconvex objective function having the property of generalized differentiability. As a tool of our analysis, we also prove a chain rule on a path for such functions.

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BibTeX RIS

Andrzej Ruszczynski. 2019-12-16. Convergence of a Stochastic Subgradient Method with Averaging for Nonsmooth Nonconvex Constrained Optimization. https://arxiv.org/abs/1912.07580

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