A stochastic feasible level-set method maintains a high-probability feasible solution path for convex optimization with expectation constraints, with iteration complexity comparable to stochastic subgradient methods.
Operations Research 56(3):712--727
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A Data Efficient and Feasible Level Set Method for Stochastic Convex Optimization with Expectation Constraints
A stochastic feasible level-set method maintains a high-probability feasible solution path for convex optimization with expectation constraints, with iteration complexity comparable to stochastic subgradient methods.