Dynamic stochastic optimization

Craig Wilson, Venugopal Varadachari Veeravalli, Angelia Nedich

Research output: Contribution to journalConference article

Abstract

A framework for sequentially solving stochastic optimization problems with stochastic gradient descent is introduced. Two tracking criteria are considered, one based on being accurate with respect to the mean trajectory and the other based on being accurate in high probability (IHP). An off-line optimization problem is solved to find the constant step size and number of iterations to achieve the desired tracking accuracy. Simulations are used to confirm that this approach provides the desired tracking accuracy.

Original languageEnglish (US)
Article number7039377
Pages (from-to)173-178
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume2015-February
Issue numberFebruary
DOIs
StatePublished - Jan 1 2014
Event2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States
Duration: Dec 15 2014Dec 17 2014

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Keywords

  • adaptive optimization
  • gradient methods
  • stochastic optimization

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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