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math.OC2022
SRKCD: a stabilized Runge-Kutta method for stochastic optimization
Tony Stillfjord, Måns Williamson
We introduce a family of stochastic optimization methods based on the Runge-Kutta-Chebyshev (RKC) schemes. The RKC methods are explicit methods originally designed for solving stif…
math.OC2020
Sub-linear convergence of a stochastic proximal iteration method in Hilbert space
Monika Eisenmann, Tony Stillfjord, Måns Williamson
We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the…