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- Arkadi Nemirovski, Anatoli Juditsky, Guanghui Lan, Alexander Shapiro
- SIAM Journal on Optimization
- 2009

In this paper we consider optimization problems where the objective function is given in a form of the expectation. A basic difficulty of solving such stochastic optimization problems is that theâ€¦ (More)

- Saeed Ghadimi, Guanghui Lan
- SIAM Journal on Optimization
- 2013

In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possiblyâ€¦ (More)

- Guanghui Lan
- Math. Program.
- 2012

This paper considers an important class of convex programming (CP) problems, namely, the stochastic composite optimization (SCO), whose objective function is given by the summation of generalâ€¦ (More)

- Saeed Ghadimi, Guanghui Lan
- Math. Program.
- 2016

In this paper, we generalize the well-known Nesterovâ€™s accelerated gradient (AG) method, originally designed for convex smooth optimization, to solve nonconvex and possibly stochastic optimizationâ€¦ (More)

- Saeed Ghadimi, Guanghui Lan
- SIAM Journal on Optimization
- 2012

In this paper we present a generic algorithmic framework, namely, the accelerated stochastic approximation (AC-SA) algorithm, for solving strongly convex stochastic composite optimization (SCO)â€¦ (More)

- Saeed Ghadimi, Guanghui Lan, Hongchao Zhang
- Math. Program.
- 2016

This paper considers a class of constrained stochastic composite optimization problems whose objective function is given by the summation of a differentiable (possibly nonconvex) component, togetherâ€¦ (More)

- Guanghui Lan, Gail W. DePuy, Gary E. Whitehouse
- European Journal of Operational Research
- 2007

This paper investigates the development of an effective heuristic to solve the set covering problem (SCP) by applying the meta-heuristic Meta-RaPS (Meta-heuristic for Randomized Priority Search). Inâ€¦ (More)

- Guanghui Lan, Yi Zhou
- Math. Program.
- 2018

In this paper, we consider a class of finite-sum convex optimization problems whose objective function is given by the summation of m (â‰¥ 1) smooth components together with some other relativelyâ€¦ (More)

- Saeed Ghadimi, Guanghui Lan
- SIAM Journal on Optimization
- 2013

In this paper we study new stochastic approximation (SA) type algorithms, namely, the accelerated SA (AC-SA), for solving strongly convex stochastic composite optimization (SCO) problems.â€¦ (More)

- Guanghui Lan
- 2013

This paper considers a general class of iterative optimization algorithms, referred to as linear-optimizationbased convex programming (LCP) methods, for solving large-scale convex programming (CP)â€¦ (More)