A stochastic Lagrangian-based method for nonconvex optimization with nonlinear constraints
The Augmented Lagrangian Method (ALM) is one of the most common approaches for solving linear and nonlinear constrained problems. However, for non-convex objectives, handling non-linear inequality constraints remains challenging. In this paper, we propose a stochastic ALM with Backtracking Line Search that performs on a subset (mini-batch) of randomly selected points for the solving of … Read more