A Variable Sample-Size Stochastic Quasi-Newton Method for Smooth and Nonsmooth Stochastic Convex Optimization

Afrooz Jalilzadeh, Angelia Nedic, Uday V. Shanbhag, Farzad Yousefian

Abstract: Classical theory for quasi-Newton schemes has focused on smooth, deterministic, unconstrained optimization, whereas recent forays into stochastic convex optimization have largely resided in smooth,...