Stochastic nested primal-dual method for nonconvex constrained composition optimization

In this paper we study the nonconvex constrained composition optimization, in which the objective contains a composition of two expected-value functions whose accurate information is normally expensive to calculate. We propose a STochastic nEsted Primal-dual (STEP) method for such problems. In each iteration, with an auxiliary variable introduced to track inner layer function values we … Read more

A momentum-based linearized augmented Lagrangian method for nonconvex constrained stochastic optimization

    Nonconvex constrained stochastic optimization  has emerged in many important application areas. With general functional constraints it minimizes the sum of an expectation function and a convex  nonsmooth  regularizer. Main challenges  arise due to the stochasticity in the random integrand and the possibly nonconvex functional constraints. To cope with these issues we propose a … Read more