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In 2020, Yamakawa and Okuno proposed a stabilized sequential quadratic semidefinite programming (SQSDP) method for solving, in particular, degenerate nonlinear semidefinite optimization problems. The algorithm is shown to converge globally…
We explore order reduction techniques for solving the algebraic Riccati equation (ARE), and investigating the numerical solution of the linear-quadratic regulator problem (LQR). A classical approach is to build a surrogate low dimensional…
In this paper we develop an accelerated Alternating Direction Method of Multipliers (ADMM) algorithm for solving quadratic programs called superADMM. Unlike standard ADMM QP solvers, superADMM uses a novel dynamic weighting method that…
We consider least squares semidefinite programming (LSSDP) where the primal matrix variable must satisfy given linear equality and inequality constraints, and must also lie in the intersection of the cone of symmetric positive semidefinite…
Stochastic nonconvex minimax problems have attracted wide attention in machine learning, signal processing and many other fields in recent years. In this paper, we propose an accelerated first-order regularized momentum descent ascent…
Distributed optimization, where the computations are performed in a localized and coordinated manner using multiple agents, is a promising approach for solving large-scale optimization problems, e.g., those arising in model predictive…
The control algebraic Riccati equation is studied for a class of systems with unbounded control and observation operators. Using a dichotomy property of the associated Hamiltonian operator matrix, two invariant graph subspaces are…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
Matrix double splitting iterations are simple in implementation while solving real non-singular (rectangular) linear systems. In this paper, we present two Alternating Double Splitting (ADS) schemes formulated by two double splittings and…
Smooth minimax games often proceed by simultaneous or alternating gradient updates. Although algorithms with alternating updates are commonly used in practice, the majority of existing theoretical analyses focus on simultaneous algorithms…
In this paper we introduce the algorithm and the fixed point hardware to calculate the normalized singular value decomposition of a non-symmetric matrices using Givens fast (approximate) rotations. This algorithm only uses the basic…
In this paper we show the extension of the Nonlinear-Diffusion Acceleration (NDA) to geometries containing small voids using a weighted least-squares (WLS) high order equation. Even though the WLS equation is well defined in voids, the…
In this paper, we develop a symmetric accelerated stochastic Alternating Direction Method of Multipliers (SAS-ADMM) for solving separable convex optimization problems with linear constraints. The objective function is the sum of a possibly…
The low-rank alternating direction implicit (ADI) method is an efficient and effective solver for large-scale standard continuous-time algebraic Riccati equations that admit low-rank solutions. However, the existing low-rank ADI algorithm…
We consider the efficient numerical solution of coupled dynamical systems, consisting of a small nonlinear part and a large linear time invariant part, possibly stemming from spatial discretization of an underlying partial differential…
This paper considers smooth convex optimization problems with many functional constraints. To solve this general class of problems we propose a new stochastic perturbed augmented Lagrangian method, called SGDPA, where a perturbation is…
As one of the most popular linear subspace learning methods, the Linear Discriminant Analysis (LDA) method has been widely studied in machine learning community and applied to many scientific applications. Traditional LDA minimizes the…
Successive quadratic approximations (SQA) are numerically efficient for minimizing the sum of a smooth function and a convex function. The iteration complexity of inexact SQA methods has been analyzed recently. In this paper, we present an…
In this paper, we extend the inexact Uzawa algorithm in [Q. Hu, J. Zou, SIAM J. Matrix Anal., 23(2001), pp. 317-338] to the nonsymmetric generalized saddle point problem. The techniques used here are similar to those in [Bramble \emph{et…
We give a quantum speedup for solving the canonical semidefinite programming relaxation for binary quadratic optimization. This class of relaxations for combinatorial optimization has so far eluded quantum speedups. Our methods combine…