IEEE - Institute of Electrical and Electronics Engineers, Inc. - eg-VSSA: An extragradient variable sample-size stochastic approximation scheme: Error analysis and complexity trade-offs

2016 Winter Simulation Conference (WSC)

Author(s): Afrooz Jalilzadeh ; Uday V. Shanbhag
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2016
Conference Location: Washington, DC, USA
Conference Date: 11 December 2016
Page(s): 690 - 701
ISBN (CD): 978-1-5090-4484-9
ISBN (Electronic): 978-1-5090-4486-3
ISBN (USB): 978-1-5090-4485-6
ISSN (Electronic): 1558-4305
DOI: 10.1109/WSC.2016.7822133
Regular:

Given a sampling budget M, stochastic approximation (SA) schemes for constrained stochastic convex programs generally utilize a single sample for each projection, requiring an effort of M... View More

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