An adaptive stochastic sequential quadratic programming with differentiable exact augmented lagrangians
Sen Na, Mihai Anitescu, Mladen Kolar
Topics & Concepts
Hessian matrixSequential quadratic programmingMathematicsMathematical optimizationAugmented Lagrangian methodStochastic optimizationStochastic programmingDifferentiable functionQuadratic programmingApplied mathematicsMathematical analysisStochastic Gradient Optimization TechniquesRisk and Portfolio OptimizationAdvanced Optimization Algorithms Research