Stochastic quasi-subgradient method for stochastic quasi-convex feasibility problems

Abstract

<p style='text-indent:20px;'>The feasibility problem is at the core of the modeling of many problems in various disciplines of mathematics and physical sciences, and the quasi-convex function is widely applied in many fields such as economics, finance, and management science. In this paper, we consider the stochastic quasi-convex feasibility problem (SQFP), which is to find a common point of infinitely many sublevel sets of quasi-convex functions. Inspired by the idea of a stochastic index scheme, we propose a stochastic quasi-subgradient method to solve the SQFP, in which the quasi-subgradients of a random (and finite) index set of component quasi-convex functions at the current iterate are used to construct the descent direction at each iteration. Moreover, we introduce a notion of Hölder-type error bound property relative to the random control sequence for the SQFP, and use it to establish the global convergence theorem and convergence rate theory of the stochastic quasi-subgradient method. It is revealed in this paper that the stochastic quasi-subgradient method enjoys both advantages of low computational cost requirement and fast convergence feature.</p>