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arXiv · 2302.07947

A Sequential Quadratic Programming Method for Optimization with Stochastic Objective Functions, Deterministic Inequality Constraints and Robust Subproblems

Songqiang Qiu·Vyacheslav Kungurtsev
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Abstract

In this paper, a robust sequential quadratic programming method for constrained optimization is generalized to problem with an {expectation} objective function {and} deterministic equality and inequality constraints. A stochastic line search scheme is employed to globalize the steps. {We show theoretically that sequences generated by the algorithm converge almost surely to a Karush-Kuhn-Tucker point under the assumption of the extended Mangasarian-Fromovitz constraint qualification}. Encouraging numerical results are reported.

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Songqiang Qiu, Vyacheslav Kungurtsev. 2023-02-15. A Sequential Quadratic Programming Method for Optimization with Stochastic Objective Functions, Deterministic Inequality Constraints and Robust Subproblems. https://arxiv.org/abs/2302.07947

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