Penalty Methods for Large-Scale Constrained Optimization Problems


The optimization problems with a large number of constraints are emerging in many application domains such as optimal control, reinforcement learning, and statistical learning, and artificial intelligence, in general. The challenges posed by the size of the problems in these applications resulted in prolific research in the domain of optimization theory and algorithms. Many refinements and accelerations of various (mainly) first-order methods have been proposed and studied, majority of which solves a penalized re-formulation of the original problem in order to cope with the large number of constraints. This talk will focus on problems with linear constraints and Huber-type penalty approach. Convergence behavior and efficiency of the algorithm will be addressed, as well as some supporting theory.


Angelia Nedich has a Ph.D. from Moscow State University, Moscow, Russia, in Computational Mathematics and Mathematical Physics (1994), and a Ph.D. from Massachusetts Institute of Technology, Cambridge, USA in Electrical and Computer Science Engineering (2002). She has worked as a senior engineer in BAE Systems North America, Advanced Information Technology Division at Burlington, MA. Currently, she is a faculty member of the school of Electrical, Computer and Energy Engineering at Arizona State University at Tempe. Prior to joining Arizona State University, she has been a Willard Scholar faculty member at the University of Illinois at Urbana-Champaign. She is a recipient (jointly with her co-authors) of the Best Paper Award at the Winter Simulation Conference 2013 and the Best Paper Award at the International Symposium on Modeling and Optimization in Mobile, Ad Hoc and Wireless Networks (WiOpt) 2015. Her general research interest is in optimization, large scale complex systems dynamics, variational inequalities and games.