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Accelerating stochastic sequential quadratic programming for equality constrained optimization using predictive variance reduction
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Journal Article
Accelerating stochastic sequential quadratic programming for equality constrained optimization using predictive variance reduction
2023
Overview
In this paper, we propose a stochastic method for solving equality constrained optimization problems that utilizes predictive variance reduction. Specifically, we develop a method based on the sequential quadratic programming paradigm that employs variance reduction in the gradient approximations. Under reasonable assumptions, we prove that a measure of first-order stationarity evaluated at the iterates generated by our proposed algorithm converges to zero in expectation from arbitrary starting points, for both constant and adaptive step size strategies. Finally, we demonstrate the practical performance of our proposed algorithm on constrained binary classification problems that arise in machine learning.
Publisher
Springer Nature B.V
Subject
