A Sequential Quadratic Programming Method for Optimization with Stochastic Objective Functions, Deterministic Inequality Constraints and Robust Subproblems
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2023
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| _version_ | 1866910631434649600 |
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| author | Qiu, Songqiang Kungurtsev, Vyacheslav |
| author_facet | Qiu, Songqiang Kungurtsev, Vyacheslav |
| contents | In this paper, a robust sequential quadratic programming method for constrained optimization is generalized to problem with an {expectation} objective function {and} deterministic equality and inequality constraints. A stochastic line search scheme is employed to globalize the steps. {We show theoretically that sequences generated by the algorithm converge almost surely to a Karush-Kuhn-Tucker point under the assumption of the extended Mangasarian-Fromovitz constraint qualification}. Encouraging numerical results are reported. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2302_07947 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A Sequential Quadratic Programming Method for Optimization with Stochastic Objective Functions, Deterministic Inequality Constraints and Robust Subproblems Qiu, Songqiang Kungurtsev, Vyacheslav Optimization and Control 65K05, 90C15, 90C30, 90C55 In this paper, a robust sequential quadratic programming method for constrained optimization is generalized to problem with an {expectation} objective function {and} deterministic equality and inequality constraints. A stochastic line search scheme is employed to globalize the steps. {We show theoretically that sequences generated by the algorithm converge almost surely to a Karush-Kuhn-Tucker point under the assumption of the extended Mangasarian-Fromovitz constraint qualification}. Encouraging numerical results are reported. |
| title | A Sequential Quadratic Programming Method for Optimization with Stochastic Objective Functions, Deterministic Inequality Constraints and Robust Subproblems |
| topic | Optimization and Control 65K05, 90C15, 90C30, 90C55 |
| url | https://arxiv.org/abs/2302.07947 |