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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 …
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 …
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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. …
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 …
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 …
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 …
Cite URL arXiv