Adaptive Stochastic Optimization with Constraints

Music City Center 

I will discuss our recent work on stochastic optimization with
equality constraints. We consider solving nonlinear optimization
problems with stochastic objective and deterministic
equality/inequality constraints. I will describe development of
adaptive algorithms based on sequential quadratic programming and
their properties.

Joint work with Sen Na, Yuchen Fang, Michael Mahoney, and Mihai Anitescu.