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https://dx.doi.org/10.48550/ar...
Article . 2024
License: CC BY
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A Two Stepsize SQP Method for Nonlinear Equality Constrained Stochastic Optimization

Authors: O'Neill, Michael J.;

A Two Stepsize SQP Method for Nonlinear Equality Constrained Stochastic Optimization

Abstract

We develop a Sequential Quadratic Optimization (SQP) algorithm for minimizing a stochastic objective function subject to deterministic equality constraints. The method utilizes two different stepsizes, one which exclusively scales the component of the step corrupted by the variance of the stochastic gradient estimates and a second which scales the entire step. We prove that this stepsize splitting scheme has a worst-case complexity result which improves over the best known result for this class of problems. In terms of approximately satisfying the constraint violation, this complexity result matches that of deterministic SQP methods, up to constant factors, while matching the known optimal rate for stochastic SQP methods to approximately minimize the norm of the gradient of the Lagrangian. We also propose and analyze multiple variants of our algorithm. One of these variants is based upon popular adaptive gradient methods for unconstrained stochastic optimization while another incorporates a safeguarded line search along the constraint violation. Preliminary numerical experiments show competitive performance against a state of the art stochastic SQP method. In addition, in these experiments, we observe an improved rate of convergence in terms of the constraint violation, as predicted by the theoretical results.

Keywords

Optimization and Control (math.OC), FOS: Mathematics, Mathematics - Optimization and Control, 49M37, 65K05, 65K10, 90C15, 90C30, 90C55

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
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