Stochastic Damped L-BFGS with Controlled Norm of the Hessian Approximation.
Sanae LotfiTiphaine Bonniot de RuisseletDominique OrbanAndrea LodiPublished in: CoRR (2020)
Keyphrases
- discrete random variables
- stage stochastic programs
- approximation schemes
- monte carlo sampling
- lp norm
- closed form
- convergence rate
- approximation error
- tikhonov regularization
- monte carlo
- error bounds
- approximation algorithms
- regularization parameter
- hessian matrix
- limited memory
- neural network
- step size
- np hard
- genetic algorithm