Lara Zebiane

Active-Set Identification in Noisy and Stochastic Optimization

  • Lara Zebiane
  • Frank E. Curtis
  • Daniel P. Robinson
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization, Optimization in Data Science

    Identifying active constraints from a point near an optimal solution is important both theoretically and practically in constrained continuous optimization, as it can help identify optimal Lagrange multipliers and essentially reduces an inequality-constrained problem to an equality-constrained one. Traditional active-set identification guarantees have been proved under assumptions of smoothness and constraint qualifications, and assume exact … Read more

    NonOpt: Nonconvex, Nonsmooth Optimizer

  • Lara Zebiane
  • Frank E. Curtis
    • Categories Nonlinear Optimization, Nonsmooth Optimization, Unconstrained Optimization Tags , , , ,

    NonOpt, a C++ software package for minimizing locally Lipschitz objective functions, is presented. The software is intended primarily for minimizing objective functions that are nonconvex and/or nonsmooth. The package has implementations of two main algorithmic strategies: a gradient-sampling and a proximal-bundle method. Each algorithmic strategy can employ quasi-Newton techniques for accelerating convergence in practice. The … Read more