Xin Jiang

Almost-sure convergence of iterates and multipliers in stochastic sequential quadratic optimization

  • Frank E. Curtis
  • Xin Jiang
  • Qi Wang
    • Categories Constrained Nonlinear Optimization, Data Science Applications, Stochastic Programming Tags , , ,

    Stochastic sequential quadratic optimization (SQP) methods for solving continuous optimization problems with nonlinear equality constraints have attracted attention recently, such as for solving large-scale data-fitting problems subject to nonconvex constraints. However, for a recently proposed subclass of such methods that is built on the popular stochastic-gradient methodology from the unconstrained setting, convergence guarantees have been … Read more

    Bregman primal–dual first-order method and application to sparse semidefinite programming

  • Xin Jiang
  • Lieven Vandenberghe
    • Categories Semi-definite Programming Tags , , ,

    We present a new variant of the Chambolle–Pock primal–dual method with Bregman distances, analyze its convergence, and apply it to the centering problem in sparse semidefinite programming. The novelty in the method is a line search procedure for selecting suitable step sizes. The line search obviates the need for estimating the norm of the constraint … Read more