Stochastic Damped L-BFGS with Controlled Norm of the Hessian Approximation.

Sanae Lotfi Tiphaine Bonniot de Ruisselet Dominique Orban Andrea Lodi

Published 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