Academic Journal
Worst-case complexity of an SQP method for nonlinear equality constrained stochastic optimization
| Title: | Worst-case complexity of an SQP method for nonlinear equality constrained stochastic optimization |
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| Authors: | Frank E. Curtis, Michael J. O’Neill, Daniel P. Robinson |
| Source: | Mathematical Programming. 205:431-483 |
| Publication Status: | Preprint |
| Publisher Information: | Springer Science and Business Media LLC, 2023. |
| Publication Year: | 2023 |
| Subject Terms: | Analysis of algorithms and problem complexity, 0211 other engineering and technologies, Stochastic programming, 02 engineering and technology, stochastic optimization, nonlinear optimization, sequential quadratic optimization, worst-case complexity, 49M37, 65K05, 65K10, 90C15, 90C30, 90C55, Methods of successive quadratic programming type, Complexity and performance of numerical algorithms, Numerical mathematical programming methods, Nonlinear programming, Optimization and Control (math.OC), FOS: Mathematics, Analysis of algorithms, Abstract computational complexity for mathematical programming problems, Mathematics - Optimization and Control |
| Description: | 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 equality constraints. Barring additional terms that arise due to the adaptivity of the monotonically nonincreasing merit parameter sequence, the proved complexity bound is comparable to that known for the stochastic gradient algorithm for unconstrained nonconvex optimization. The overall complexity bound, which accounts for the adaptivity of the merit parameter sequence, shows that a result comparable to the unconstrained setting (with additional logarithmic factors) holds with high probability. 46 pages, 0 figures |
| Document Type: | Article |
| File Description: | application/xml |
| Language: | English |
| ISSN: | 1436-4646 0025-5610 |
| DOI: | 10.1007/s10107-023-01981-1 |
| DOI: | 10.48550/arxiv.2112.14799 |
| Access URL: | http://arxiv.org/abs/2112.14799 https://zbmath.org/7829609 https://doi.org/10.1007/s10107-023-01981-1 |
| Rights: | Springer Nature TDM CC BY |
| Accession Number: | edsair.doi.dedup.....d13e1d47b2752f40e4aa6847d9d79524 |
| Database: | OpenAIRE |
| ISSN: | 14364646 00255610 |
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| DOI: | 10.1007/s10107-023-01981-1 |