3 papers
math.OC2020
A Randomized Nonlinear Rescaling Method in Large-Scale Constrained Convex Optimization
Bo Wei, William B. Haskell, Sixiang Zhao
We propose a new randomized algorithm for solving convex optimization problems that have a large number of constraints (with high probability). Existing methods like interior-point…
math.OC2018
Corporative Stochastic Approximation with Random Constraint Sampling for Semi-Infinite Programming
Bo Wei, William B. Haskell, Sixiang Zhao
We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provid…
math.OC2018
An Inexact Primal-Dual Algorithm for Semi-Infinite Programming
Bo Wei, William B. Haskell, Sixiang Zhao
This paper considers an inexact primal-dual algorithm for semi-infinite programming (SIP) for which it provides general error bounds. To implement the dual variable update, we crea…