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Trust-Region Sequential Quadratic Programming for Stochastic Optimization with Random Models
In this work, we consider solving optimization problems with a stochastic objective and deterministic equality constraints. We propose …
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Distributed Sequential Quadratic Programming with Overlapping Graph Decomposition and Exact Augmented Lagrangian
In this paper, we address the challenge of solving large-scale graph-structured nonlinear programs (gsNLPs) in a scalable manner. …
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Fully Stochastic Trust-Region Sequential Quadratic Programming for Equality-Constrained Optimization Problems
We propose a trust-region stochastic sequential quadratic programming algorithm (TR-StoSQP) to solve nonlinear optimization problems …
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Convergence Analysis of Accelerated Stochastic Gradient Descent under the Growth Condition
We study the convergence of accelerated stochastic gradient descent for strongly convex objectives under the growth condition, which …
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Constrained Optimization via Exact Augmented Lagrangian and Randomized Iterative Sketching
We consider solving equality-constrained nonlinear, nonconvex optimization problems. This class of problems appears widely in a variety …
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A Fast Temporal Decomposition Procedure for Long-horizon Nonlinear Dynamic Programming
We propose a fast temporal decomposition procedure for solving long-horizon nonlinear dynamic programs. The core of the procedure is …
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Inequality Constrained Stochastic Nonlinear Optimization via Active-Set Sequential Quadratic Programming
We study nonlinear optimization problems with a stochastic objective and deterministic equality and inequality constraints, which …
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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 …
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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