Inexact-Proximal Accelerated Gradient Method for Stochastic Nonconvex Constrained Optimization Problems

Morteza Boroun, Afrooz Jalilzadeh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated gradient method to solve a nonconvex stochastic composite optimization problem where the objective is the sum of smooth and nonsmooth functions, the constraint functions are assumed to be deterministic and the solution to the proximal map of the nonsmooth part is calculated inexactly at each iteration. We demonstrate an asymptotic sublinear rate of convergence for stochastic settings using increasing sample-size considering the error in the proximal operator diminishes at an appropriate rate. Then we customize the proposed method for solving stochastic nonconvex optimization problems with nonlinear constraints and demonstrate a convergence rate guarantee. Numerical results show the effectiveness of the proposed algorithm.

Original languageEnglish (US)
Title of host publication2021 Winter Simulation Conference, WSC 2021
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781665433112
DOIs
StatePublished - 2021
Event2021 Winter Simulation Conference, WSC 2021 - Phoenix, United States
Duration: Dec 12 2021Dec 15 2021

Publication series

NameProceedings - Winter Simulation Conference
Volume2021-December
ISSN (Print)0891-7736

Conference

Conference2021 Winter Simulation Conference, WSC 2021
Country/TerritoryUnited States
CityPhoenix
Period12/12/2112/15/21

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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