Related papers: Local Convergence Results for Sequential Quadratic…
In this paper, a class of optimization problems with nonlinear inequality constraints is discussed. Based on the ideas of sequential quadratic programming algorithm and the method of strongly sub-feasible directions, a new superlinearly…
Stochastic convex optimization problems with nonlinear functional constraints are ubiquitous in signal processing applications including constrained least-squares, set-membership adaptive filtering, and trajectory optimization under…
This paper presents a unified framework that connects sequential quadratic programming (SQP) and the iterative linear-parameter-varying model predictive control (LPV-MPC) technique. Using the differential formulation of the LPV-MPC, we…
In this workshop, we discuss several algorithms for mathematical programs with equilibrium constraints (MPECs). The unifying theme is that MPECs are optimization problems whose feasible set contains a lower-level equilibrium system, often…
This paper presents a methodology for using varying sample sizes in sequential quadratic programming (SQP) methods for solving equality constrained stochastic optimization problems. The first part of the paper deals with the delicate issue…
In model predictive control (MPC) an optimization problem has to be solved at each time step, which in real-time applications makes it important to solve these optimization problems efficiently and to have good upper bounds on worst-case…
Sequential Monte Carlo algorithms (also known as particle filters) are popular methods to approximate filtering (and related) distributions of state-space models. However, they converge at the slow $1/\sqrt{N}$ rate, which may be an issue…
Motivated by a growing list of nontraditional statistical estimation problems of the piecewise kind, this paper provides a survey of known results supplemented with new results for the class of piecewise linear-quadratic programs. These are…
This study explores B-stationarity of mathematical programs with complementarity constraints (MPCCs) and convergence behavior of MPCC algorithms. Special attention is given to the cases with biactive complementarity constraints. First, we…
Quadratically constrained quadratic programs (QCQPs) are a fundamental class of optimization problems well-known to be NP-hard in general. In this paper we study sufficient conditions for a convex hull result that immediately implies that…
We consider the Mathematical Program with Complementarity Constraints (MPCC). One of the main challenges in solving this problem is the systematic failure of standard Constraint Qualifications (CQs). Carefully accounting for the…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
We present new constraint qualification conditions for nonlinear semidefinite programming that extend some of the constant rank-type conditions from nonlinear programming. As an application of these conditions, we provide a unified global…
We propose an algorithm for solving bound-constrained mathematical programs with complementarity constraints on the variables. Each iteration of the algorithm involves solving a linear program with complementarity constraints in order to…
We introduce an algorithm called SQDP (Stochastic Quadratic Dynamic Programming) to solve some multistage stochastic optimization problems having strongly convex recourse functions. The algorithm extends the classical Stochastic Dual…
Quadratically constrained quadratic programs (QCQPs) are ubiquitous in optimization: Such problems arise in applications from operations research, power systems, signal processing, chemical engineering, and portfolio theory, among others.…
Nonlinear dynamics and safety constraints typically result in a nonlinear programming problem when applying model predictive control to achieve safe output consensus. To avoid the heavy computational burden of solving a nonlinear…
A worst-case complexity bound is proved for a sequential quadratic optimization (commonly known as SQP) algorithm that has been designed for solving optimization problems involving a stochastic objective function and deterministic nonlinear…
We consider a degenerate nonsmooth and nonconvex optimization problem for which the standard constraint qualification such as the generalized Mangasarian Fromovitz constraint qualification (GMFCQ) may not hold. We use smoothing functions…
This paper introduces a computationally efficient method that converges globally to B-stationary points of mathematical programs with equilibrium constraints (MPECs). B-stationarity is necessary for optimality and means that no feasible…