mlsanityData to 7 Oct 2026

Residual-Controlled Multiplier Learning for Stochastic Constrained Decision-Making

arXiv 2606.07088 ↗First posted 5 Jun 2026cs.LG math.OCcited by 0

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Abstract (arXiv)

Stochastic constrained decision-making requires optimizing performance objectives while enforcing statistical requirements such as safety or fairness. However, standard primal--dual methods struggle to update multipliers robustly under stochastic mini-batch feedback, as the noise of mini-batch gradients and constraint estimates can be directly accumulated into the multiplier memory. To address this issue, we propose Residual-Controlled Multiplier Learning (RCML), which reformulates multiplier updating as projected-pressure feedback. The central idea is to decompose the projected multiplier into an effective pressure signal for primal descent and a pressure-memory residual for finite-gain multiplier tracking. To handle heterogeneous and noisy observations, we further augment this residual-integral backbone with modular stochastic stabilization components. For the convex-affine backbone, we establish finite-gain convergence, derive a stochastic residual bound under mini-batch feedback, and show that the residual feedback law admits a local KKT-residual interpretation near regular KKT points of nonconvex problems. Experiments across optimization, allocation, and fair-ranking tasks show that RCML improves feasibility control and multiplier stability while maintaining competitive objective performance. Code is released at https://anonymous.4open.science/r/RCML-3114/.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 25 of its 45 references that are in the map. First posted on arXiv 5 Jun 2026.

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References · 25

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13 more
  1. 2021Inequality Constrained Stochastic Nonlinear Optimization via Active-Set Sequential Quadratic Programmingcited by 16
  2. 2023Complexity of Single Loop Algorithms for Nonlinear Programming with Stochastic Objective and Constraintscited by 16
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  4. 2022A Single-Loop Gradient Descent and Perturbed Ascent Algorithm for Nonconvex Functional Constrained Optimizationcited by 12
  5. 2024On PI Controllers for Updating Lagrange Multipliers in Constrained Optimizationcited by 12
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  12. 2025Stochastic Gradient Descent for Constrained Optimization based on Adaptive Relaxed Barrier Functionscited by 1
  13. 2026Feedback control of Lagrange multipliers for non-smooth constrained optimizationcited by 1

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