Drew Kouri
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View article: ProxSTORM -- A Stochastic Trust-Region Algorithm for Nonsmooth Optimization
ProxSTORM -- A Stochastic Trust-Region Algorithm for Nonsmooth Optimization Open
We develop a stochastic trust-region algorithm for minimizing the sum of a possibly nonconvex Lipschitz-smooth function that can only be evaluated stochastically and a nonsmooth, deterministic, convex function. This algorithm, which we cal…
View article: A Million-Point Fast Trajectory Optimization Solver
A Million-Point Fast Trajectory Optimization Solver Open
One might argue that solving a trajectory optimization problem over a million grid points is preposterous. How about solving such a problem at an incredibly fast computational time? On a small form-factor processor? Algorithmic details tha…
View article: Optimization problems governed by systems of PDEs with uncertainties
Optimization problems governed by systems of PDEs with uncertainties Open
This paper reviews current theoretical and numerical approaches to optimization problems governed by partial differential equations (PDEs) that depend on random variables or random fields. Such problems arise in many engineering, science, …
View article: Trilinos: Enabling Scientific Computing Across Diverse Hardware Architectures at Scale
Trilinos: Enabling Scientific Computing Across Diverse Hardware Architectures at Scale Open
Trilinos is a community-developed, open-source software framework that facilitates building large-scale, complex, multiscale, multiphysics simulation code bases for scientific and engineering problems. Since the Trilinos framework has unde…
View article: Rapid Optimization of Total Variation with Applications in Imaging, Additive Manufacturing, and Qualification
Rapid Optimization of Total Variation with Applications in Imaging, Additive Manufacturing, and Qualification Open
Total Variation optimization penalizes the gradient of a control variable or state. While this work focuses on image processing in particular, it has also found applications in inverse problems and topology optimization. In image processin…
View article: A Risk Management Perspective on Statistical Estimation and Generalized Variational Inference
A Risk Management Perspective on Statistical Estimation and Generalized Variational Inference Open
Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters th…
View article: Adaptive Randomized Sketching for Dynamic Nonsmooth Optimization
Adaptive Randomized Sketching for Dynamic Nonsmooth Optimization Open
Dynamic optimization problems arise in many applications, including optimal flow control, full waveform inversion, and medical imaging, where they are plagued by significant computational challenges. For example, memory is often a limiting…
View article: ALESQP: An Augmented Lagrangian Equality-Constrained SQP Method for Optimization with General Constraints
ALESQP: An Augmented Lagrangian Equality-Constrained SQP Method for Optimization with General Constraints Open
Here we present a new algorithm for infinite-dimensional optimization with general constraints, called ALESQP. In short, ALESQP is an augmented Lagrangian method that penalizes inequality constraints and solves equality-constrained nonline…