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Online Covariance Matrix Estimation in Stochastic Inexact Newton Methods
Online algorithms gain prominence as the volume of data explodes, among which second-order methods are known for their robustness. …
Trust-Region Sequential Quadratic Programming for Stochastic Optimization with Random Models
We design a trust-region sequential quadratic programming (TR-SQP) method to find both first- and second-order stationary points for …
A Theoretically Sound Sequential Quadratic Programming Algorithm On Riemannian Manifolds
We design a Sequential Quadratic Programming (SQP) algorithm for solving equality-constrained optimization problems on Riemannian …