math.OC

Hessian Averaging in Stochastic Newton Methods Achieves Superlinear Convergence
We consider minimizing a smooth and strongly convex objective function using a stochastic Newton method. At each iteration, the …
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On the Convergence of Overlapping Schwarz Decomposition for Nonlinear Optimal Control
We study the convergence properties of an overlapping Schwarz decomposition algorithm for solving nonlinear optimal control problems …
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An Adaptive Stochastic Sequential Quadratic Programming with Differentiable Exact Augmented Lagrangians
We consider solving nonlinear optimization problems with a stochastic objective and deterministic equality constraints. We assume for …
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Statistical Inference of Constrained Stochastic Optimization via Sketched Sequential Quadratic Programming
We consider statistical inference of equality-constrained stochastic nonlinear optimization problems. We develop a fully online …
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Exponential Decay in the Sensitivity Analysis of Nonlinear Dynamic Programming
In this paper, we study the sensitivity of discrete-time dynamic programs with nonlinear dynamics and objective to perturbations in the …
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