math.OC

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 …
Cite DOI arXiv
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 …
Cite DOI arXiv