相关论文: A trust-region method for derivative-free nonlinea…

Iterative trajectory optimization techniques for non-linear dynamical systems are among the most powerful and sample-efficient methods of model-based reinforcement learning and approximate optimal control. By leveraging time-variant local…

In this contribution we device and analyze improved variants of the non-conforming dual approach for trust-region reduced basis (TR-RB) approximation of PDE-constrained parameter optimization that has recently been introduced in [Keil et…

Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…

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…

Derivative-free optimization problems are optimization problems where derivative information is unavailable. The least Frobenius norm updating quadratic interpolation model function is one of the essential under-determined model functions…

A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…

Motivated by distributed statistical learning over uncertain communication networks, we study distributed stochastic optimization by networked nodes to cooperatively minimize a sum of convex cost functions. The network is modeled by a…

In many applications of mathematical optimization, one may wish to optimize an objective function without access to its derivatives. These situations call for derivative-free optimization (DFO) methods. Among the most successful approaches…

We present an augmented Lagrangian trust-region method to efficiently solve constrained optimization problems governed by large-scale nonlinear systems with application to partial differential equation-constrained optimization. At each…

Stochastic minimax optimization has drawn much attention over the past decade due to its broad applications in machine learning, signal processing and game theory. In some applications, the probability distribution of uncertainty depends on…

We develop an interior-point method for nonsmooth regularized bound-constrained optimization problems. Our method consists of iteratively solving a sequence of unconstrained nonsmooth barrier subproblems. We use a variant of the proximal…

We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our approach can be used to quantify uncertainty in realizations of stochastic processes…

An algorithm based on the interior-point methodology for solving continuous nonlinearly constrained optimization problems is proposed, analyzed, and tested. The distinguishing feature of the algorithm is that it presumes that only noisy…

We compare full-space, reduced-space, and gray-box formulations for representing trained neural networks in nonlinear constrained optimization problems. We test these formulations on a transient stability-constrained, security-constrained…

Spectral residual methods are powerful tools for solving nonlinear systems of equations without derivatives. In a recent paper, it was shown that an acceleration technique based on the Sequential Secant Method can greatly improve its…

An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…

In this paper, a new alternating direction trust region method based on conic model is used to solve unconstrained optimization problems. By use of the alternating direction method, the new conic model trust region subproblem is solved by…

This is an overview paper written in style of research proposal. In recent years we introduced a general framework for large-scale unconstrained optimization -- Sequential Subspace Optimization (SESOP) and demonstrated its usefulness for…

This work introduces a new method to efficiently solve optimization problems constrained by partial differential equations (PDEs) with uncertain coefficients. The method leverages two sources of inexactness that trade accuracy for speed:…

Stochastic first-order methods are standard for training large-scale machine learning models. Random behavior may cause a particular run of an algorithm to result in a highly suboptimal objective value, whereas theoretical guarantees are…