ISyE Seminar Series: Frank E. Curtis
"Stochastic Algorithms for Solving Constrained Optimization Problems"
Presentation by Frank E. Curtis
Professor, Director of Graduate Studies, Department of Industrial and Systems Engineering
Lehigh University
3:30 pm - Seminar
4:30 pm - Reception, cookies and coffee
About the seminar:
I will present recent work by my research group on algorithms for solving continuous optimization problems with a stochastic objective function and deterministic (nonlinear) constraints. I provide an overview of SQP algorithms that we have proposed, analyzed, and tested for the equality-constraints-only and generally constrained settings, for which we have convergence-in-expectation and worst-case complexity results. I will also discuss recent work on the design and analysis of an interior-point method for minimizing a stochastic objective function subject to bound constraints, for which we have convergence-in-expectation results. This algorithm requires neither line searches nor a fraction-to-the-boundary rule; rather, convergence is guaranteed with prescribed choices of the barrier parameter sequence, step size sequence, and a newly introduced neighborhood parameter sequence.
Bio:
Frank E. Curtis is a Professor in the Department of ISE at Lehigh University. His research focuses on the design, analysis, and implementation of algorithms for solving large-scale optimization problems. He received an Early Career Award from the ASCR program of the U.S. Department of Energy, and has received funding from various programs of the U.S. National Science Foundation as well as from the Office of Naval Research. He received, along with Leon Bottou (Facebook AI) and Jorge Nocedal (Northwestern), the 2021 SIAM/MOS Lagrange Prize in Continuous Optimization. He was awarded, with James V. Burke (Washington), Adrian Lewis (Cornell), and Michael Overton (NYU), the 2018 INFORMS Computing Society Prize. He currently serves as Area Editor for Continuous Optimization for Mathematics of Operations Research and as an Associate Editor for Mathematical Programming, SIAM Journal on Optimization, IMA Journal of Numerical Analysis, and Mathematical Programming Computation.