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Trust-Region Sequential Quadratic Programming for Stochastic Optimization with Random Models: First-Order Stationarity
Yuchen Fang · Sen Na · Mladen Kolar
We consider optimization problems with a stochastic objective and deterministic constraints, and design a trust-region sequential quadratic programming (TR-SQP) method to solve them. We name our method TR-SQP for STochastic Optimization with Random Models (TR-SQP-STORM). In each iteration, our algorithm constructs a random model for the objective that satisfies suitable accuracy conditions with a high but fixed probability. The algorithm decides whether a trial step is successful or not based on two ratios: the ratio between the estimated actual reduction and predicted reduction on the $\ell_2$ merit function, and the ratio between the estimated KKT residual and trust-region radius. For each successful step, the algorithm increases the trust-region radius, and further decides whether the step is reliable or not based on the amount of the predicted reduction. If the step is reliable, then the algorithm relaxes the accuracy conditions for the next iteration. To resolve the infeasibility issue of trust-region methods for constrained problems, we employ an adaptive relaxation technique proposed by a companion paper. Under reasonable assumptions, we establish the global first-order convergence guarantee: the KKT residual converges to zero almost surely. We apply our method on a subset of problems in CUTEst set to demonstrate its empirical performance.

Author Information

Yuchen Fang (The University of Chicago)
Sen Na (ICSI and University of California, Berkeley)
Mladen Kolar (U Chicago)

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