Related papers: A sequential quadratic programming method for nons…
In this article we propose a new adaptive numerical quadrature procedure which includes both local subdivision of the integration domain, as well as local variation of the number of quadrature points employed on each subinterval. In this…
In this paper, we study the sequential convex programming method with monotone line search (SCP$_{ls}$) in [46] for a class of difference-of-convex (DC) optimization problems with multiple smooth inequality constraints. The SCP$_{ls}$ is a…
Stochastic equations play an important role in computational science, due to their ability to treat a wide variety of complex statistical problems. However, current algorithms are strongly limited by their sampling variance, which scales…
A method of Sequential Log-Convex Programming (SLCP) is constructed that exploits the log-convex structure present in many engineering design problems. The mathematical structure of Geometric Programming (GP) is combined with the ability of…
In 2020, Yamakawa and Okuno proposed a stabilized sequential quadratic semidefinite programming (SQSDP) method for solving, in particular, degenerate nonlinear semidefinite optimization problems. The algorithm is shown to converge globally…
We consider convex optimization with non-smooth objective function and log-concave sampling with non-smooth potential (negative log density). In particular, we study two specific settings where the convex objective/potential function is…
We present a novel, practical, and provable approach for solving diagonally constrained semi-definite programming (SDP) problems at scale using accelerated non-convex programming. Our algorithm non-trivially combines acceleration motions…
We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
In this paper, we consider a class of nonconvex complex quadratic programming (CQP) problems, which find a broad spectrum of signal processing applications. By using the polar coordinate representations of the complex variables, we first…
We consider a parametric convex quadratic programming, CQP, relaxation for the quadratic knapsack problem, QKP. This relaxation maintains partial quadratic information from the original QKP by perturbing the objective function to obtain a…
By the asymptotic oracle property, non-convex penalties represented by minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) have attracted much attentions in high-dimensional data analysis, and have been widely used…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy…
In this work, we consider solving optimization problems with a stochastic objective and deterministic equality constraints. We propose a Trust-Region Sequential Quadratic Programming method to find both first- and second-order stationary…
Quadratic programming (QP) is a fundamental optimization model with wide-ranging applications in decision-making and machine learning, yet efficiently solving large-scale instances remains a major computational challenge. Building upon the…
In this paper, a modification to the Gradient Sampling (GS) method for minimizing nonsmooth nonconvex functions is presented. One drawback in GS method is the need of solving a Quadratic optimization Problem (QP) at each iteration, which is…
A computationally efficient method to solve non-convex programming problems with linear equality constraints is presented. The proposed method is based on a recursively feasible and descending sequential convex programming procedure proven…
We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function $h$ and smooth function $c$ and, more generally, stochastic weakly-convex functionals. We develop a family of stochastic…
The nonlinear optimization problem with linear constraints has many applications in engineering fields such as the visual-inertial navigation and localization of an unmanned aerial vehicle maintaining the horizontal flight. In order to…
We propose a nonlinear model predictive control (NMPC) framework based on a direct optimal control method that ensures continuous-time constraint satisfaction and accurate evaluation of the running cost, without compromising computational…