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This paper proposes an algorithmic framework for solving parametric optimization problems which we call adjoint-based predictor-corrector sequential convex programming. After presenting the algorithm, we prove a contraction estimate that…
Enforcing complex (e.g., nonconvex) operational constraints is a critical challenge in real-world learning and control systems. However, existing methods struggle to efficiently enforce general classes of constraints. To address this, we…
We present an accelerated greedy strategy for training of projection-based reduced-order models for parametric steady and unsteady partial differential equations. Our approach exploits hierarchical approximate proper orthogonal…
For some typical and widely used non-convex half-quadratic regularization models and the Ambrosio-Tortorelli approximate Mumford-Shah model, based on the Kurdyka-\L ojasiewicz analysis and the recent nonconvex proximal algorithms, we…
In this paper we analyze several new methods for solving nonconvex optimization problems with the objective function formed as a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known.…
A fast algorithm for the approximation of a low rank LU decomposition is presented. In order to achieve a low complexity, the algorithm uses sparse random projections combined with FFT-based random projections. The asymptotic approximation…
This paper addresses constrained smooth saddle-point problems in settings where projection onto the feasible sets is computationally expensive. We bridge the gap between projection-based and projection-free optimization by introducing a…
Finding a point in the intersection of a collection of closed convex sets, that is the convex feasibility problem, represents the main modeling strategy for many computational problems. In this paper we analyze new stochastic reformulations…
We present a new class of preconditioned iterative methods for solving linear systems of the form $Ax = b$. Our methods are based on constructing a low-rank Nystr\"om approximation to $A$ using sparse random matrix sketching. This…
This paper studies first-order algorithms for solving fully composite optimization problems over convex and compact sets. We leverage the structure of the objective by handling its differentiable and non-differentiable components…
The matrix completion problem consists of finding or approximating a low-rank matrix based on a few samples of this matrix. We propose a new algorithm for matrix completion that minimizes the least-square distance on the sampling set over…
To precondition a large and sparse linear system, two direct methods for approximate factoring of the inverse are devised. The algorithms are fully parallelizable and appear to be more robust than the iterative methods suggested for the…
We give an algorithm that generates a uniformly random contingency table with specified marginals, i.e. a matrix with non-negative integer values and specified row and column sums. Such algorithms are useful in statistics and combinatorics.…
Robust low-rank approximation under row-wise adversarial corruption can be achieved with a single pass, randomized procedure that detects and removes outlier rows by thresholding their projected norms. We propose a scalable, non-iterative…
In this paper, we propose a probabilistic reduced-dimensional vector autoregressive (PredVAR) model to extract low-dimensional dynamics from high-dimensional noisy data. The model utilizes an oblique projection to partition the measurement…
We consider the problem of minimizing a function over the manifold of orthogonal matrices. The majority of algorithms for this problem compute a direction in the tangent space, and then use a retraction to move in that direction while…
Recent works have developed new projection-free first-order methods based on utilizing linesearches and normal vector computations to maintain feasibility. These oracles can be cheaper than orthogonal projection or linear optimization…
Man-made environments typically comprise planar structures that exhibit numerous geometric relationships, such as parallelism, coplanarity, and orthogonality. Making full use of these relationships can considerably improve the robustness of…
In this paper, we propose a probabilistic reduced-dimensional vector autoregressive (PredVAR) model with oblique projections. This model partitions the measurement space into a dynamic subspace and a static subspace that do not need to be…
A subgradient method is presented for solving general convex optimization problems, the main requirement being that a strictly-feasible point is known. A feasible sequence of iterates is generated, which converges to within user-specified…