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Stochastic Successive Convex Approximation for General Stochastic Optimization Problems
[article]
2019
arXiv
pre-print
One key challenge for solving a general stochastic optimization problem with expectations in the objective and constraint functions using ordinary stochastic iterative methods lies in the infeasibility issue caused by the randomness over iterates. This letter aims to address this main challenge. First, we obtain an equivalent stochastic optimization problem which is to minimize the weighted sum of the original objective and the penalty for violating the original constraints. Then, we propose a
arXiv:1908.11015v1
fatcat:ns45bdfukfhs5lh3tmay5xq6uu