[Theory] [TTIC Talks] 3/4 Research at TTIC: Mladen Kolar, University of Chicago

[Brandie Jones]

*When:*          * Friday, March 4th at 10:30 AM *


*Where:*         Talk will be given *live, in-person* at

                     TTIC, 6045 S. Kenwood Avenue

                      5th Floor, Room 530



*Virtually:*      via zoom: *register in advance here*
<https://uchicagogroup.zoom.us/meeting/register/tJIvduChqjMiHNTEa-QzLrhMT1KJWHxWHqUh>




*Who:*            Mladen Kolar



*Title:*             An Adaptive Stochastic Sequential Quadratic
Programming with
                     Differentiable Exact Augmented Lagrangians

*Abstract:     *In this talk, I will discuss our recent work on stochastic
optimization with
equality constraints. We consider solving nonlinear optimization problems
with
stochastic objective and deterministic equality constraints. We propose a
stochastic algorithm based on sequential quadratic programming (SQP) that
uses a
differentiable exact augmented Lagrangian as the merit function. The design
of
the algorithm is motivated by an old SQP method (Lucidi, 1990) developed for
solving deterministic problems. I will first explain how to handle
stochastic
objectives when the stepsizes are deterministic and prespecified. Next, I
will
explain how to adaptively select the random stepsizes by adapting the
stochastic
line search procedure of Paquette and Scheinberg (2020) that was developed
for
unconstrained problems. We established the global ``almost sure"
convergence for
the SQP method. If time permits, I will also discuss recent progress on
solving
problems with inequality constraints.



***********************************************************************************************

*Presence at TTIC requires being fully vaccinated for COVID-19 or having a
TTIC or UChicago-approved exemption. Masks are required in all common
areas. Full visitor guidance available at ttic.edu/visitors
<http://ttic.edu/visitors>.*

***********************************************************************************************

*Research at TTIC Seminar Series*



TTIC is hosting a weekly seminar series presenting the research currently
underway at the Institute. Every week a different TTIC faculty member will
present their research.  The lectures are intended both for students
seeking research topics and advisors, and for the general TTIC and
University of Chicago communities interested in hearing what their
colleagues are up to.

*Brandie Jones *
*Faculty Administrative Support*

Toyota Technological Institute
6045 S. Kenwood Avenue
Chicago, IL  60637
www.ttic.edu
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