Deterministically Constrained Stochastic Optimization

This talk highlights the recent work by my research group on the design, analysis, and implementation of algorithms for solving continuous nonlinear optimization problems that involve a stochastic objective function and deterministic constraints. We will focus on our sequential quadratic optimization (commonly known as SQP) methods for cases when the constraints are defined by nonlinear systems of equations and inequalities. Our methods are applicable for solving various types of problems, such as for training machine learning (e.g., deep learning) models with constraints. Our work focuses on the "fully stochastic" regime in which only stochastic gradient estimates are employed, for which we have derived convergence-in-expectation results and worst-case iteration complexity bounds that are on par with stochastic gradient methods for the unconstrained setting. We will also discuss the various extensions that my group is exploring.