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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 …
Yuchen Fang
,
Sen Na
,
Michael W. Mahoney
,
Mladen Kolar
Cite
DOI
arXiv
An Asymptotically Optimal Method for Constrained Stochastic Optimization
We perform statistical inference for the solution of stochastic optimization problems with equality and box inequality constraints. The …
Sen Na
,
Yihang Gao
,
Michael K. Ng
,
Michael W. Mahoney
Cite
PDF
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. …
Wei Kuang
,
Sen Na
,
Michael W. Mahoney
,
Mihai Anitescu
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 …
Yuchen Fang
,
Sen Na
,
Michael W. Mahoney
,
Mladen Kolar
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 …
Miao Li
,
Sen Na
,
Mladen Kolar
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 …
Sen Na
,
Mihai Anitescu
,
Mladen Kolar
Cite
DOI
arXiv
High-dimensional Varying Index Coefficient Models via Stein's Identity
We study the parameter estimation problem for a varying index coefficient model in high dimensions. Unlike the most existing works that …
Sen Na
,
Zhuoran Yang
,
Zhaoran Wang
,
Mladen Kolar
Cite
URL
arXiv
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