Stochastic approximation algorithm for minimax problems |
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| Authors: | Y. Wardi |
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| Affiliation: | (1) School of Electrical Engineering, Georgia Institute of Technology, Atlanta, Georgia |
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| Abstract: | A stochastic approximation algorithm for minimax optimization problems is analyzed. At each iterate, it performs one random experiment, based on which it computes a direction vector. It is shown that, under suitable conditions, it a.s. converges to the set of points satisfying necessary optimality conditions. The algorithm and its analysis bring together ideas from stochastic approximation and nondifferentiable optimization. |
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| Keywords: | Stochastic approximation nondifferentiable optimization minimax problems |
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