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Online Inference of Constrained Optimization: Primal-Dual Optimality and Sequential Quadratic Programming
We study online statistical inference for the solutions of stochastic optimization problems with equality and inequality constraints. …
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Derivative-Free Sequential Quadratic Programming for Equality-Constrained Stochastic Optimization
We consider solving nonlinear optimization problems with a stochastic objective and deterministic equality constraints, assuming that …
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Online Statistical Inference for Proximal Stochastic Gradient Descent under Markovian Sampling
Nonsmooth stochastic optimization has emerged as a fundamental framework for modeling complex machine learning problems, particularly …
Statistical Inference of Constrained Model Estimation via Derivative-Free Stochastic Sequential Quadratic Programming
We propose a derivative-free stochastic sequential quadratic programming (DF-SSQP) method for solving nonlinear equality-constrained …
Online Statistical Inference of Constrained Stochastic Optimization via Random Scaling
Constrained stochastic nonlinear optimization problems have attracted significant attention for their ability to model complex …
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Online Covariance Matrix Estimation in Sketched Newton Methods
Given the ubiquity of streaming data, online algorithms have been widely used for parameter estimation, with second-order methods …
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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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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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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 …
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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