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Stochastic SQP Method for Optimization by zhanbuge is a document available to read on EtoBox.
This paper presents a robust sequential quadratic programming (SQP) method for constrained optimization problems with stochastic objective functions and deterministic constraints. The authors employ a stochastic line search to ensure global convergence and demonstrate that the iterates converge to a Karush-Kuhn-Tucker point under certain conditions. Encouraging numerical results support the effectiveness of the proposed method in handling such optimization challenges.
- Author
- zhanbuge
- Language
- EN