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Stochastic optimization algorithms update models with cheap per-iteration costs sequentially, which makes them amenable for large-scale data analysis. Such algorithms have been widely studied for structured sparse models where the sparsity…
For general quadratically-constrained quadratic programming (QCQP), we propose a parabolic relaxation described with convex quadratic constraints. An interesting property of the parabolic relaxation is that the original non-convex feasible…
Polynomial optimization problems represent a wide class of optimization problems, with a large number of real-world applications. Current approaches for polynomial optimization, such as the sum of squares (SOS) method, rely on large-scale…
We propose an approach to trajectory optimization for piecewise polynomial systems based on the recently proposed graphs of convex sets framework. We instantiate the framework with a convex relaxation of optimal control based on occupation…
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.…
This paper considers the stochastic convex composite optimization problem and presents multi-cut stochastic approximation (SA) methods for solving it, whose models in expectation overestimate its objective function. The multi-cut model…
In this paper we introduce a class of novel distributed algorithms for solving stochastic big-data convex optimization problems over directed graphs. In the addressed set-up, the dimension of the decision variable can be extremely high and…
We introduce Sieve-SDP, a simple facial reduction algorithm to preprocess semidefinite programs (SDPs). Sieve-SDP inspects the constraints of the problem to detect lack of strict feasibility, deletes redundant rows and columns, and reduces…
This paper proposes a new algorithm for simultaneous graph matching and clustering. For the first time in the literature, these two problems are solved jointly and synergetically without relying on any training data, which brings advantages…
We consider joint optimization and learning problems arising in real-time decision systems. While most existing work focuses primarily on convex, revenue-based objectives, we extend this line of research to multi-objective formulations. In…
Efficient layout of large-scale graphs remains a challenging problem: the force-directed and dimensionality reduction-based methods suffer from high overhead for graph distance and gradient computation. In this paper, we present a new graph…
Modern power systems are now in continuous process of massive changes. Increased penetration of distributed generation, usage of energy storage and controllable demand require introduction of a new control paradigm that does not rely on…
This paper presents a first-order distributed algorithm for solving a convex semi-infinite program (SIP) over a time-varying network. In this setting, the objective function associated with the optimization problem is a summation of a set…
Optimization problems with norm-bounding constraints arise in a variety of applications, including portfolio optimization, machine learning, and feature selection. A common approach to these problems involves relaxing the norm constraint…
We consider the task of decentralized minimization of the sum of smooth strongly convex functions stored across the nodes of a network. For this problem, lower bounds on the number of gradient computations and the number of communication…
In the field of unsupervised feature selection, sparse principal component analysis (SPCA) methods have attracted more and more attention recently. Compared to spectral-based methods, SPCA methods don't rely on the construction of a…
In scheduling and timetabling applications, the mutual-exclusion constraint stipulates that certain pairs of tasks that cannot be executed at the same time. This corresponds to the vertex colouring problem in graph theory, for which there…
Signomial geometric programming (SGP) is a computationally challenging, NP-Hard class of nonconvex nonlinear optimization problems. SGP can be solved iteratively using a sequence of convex relaxations; consequently, the strength of such…
We consider large-scale Markov decision processes (MDPs) with an unknown cost function and employ stochastic convex optimization tools to address the problem of imitation learning, which consists of learning a policy from a finite set of…
This paper deals with the non-convex power system state estimation (PSSE) problem, which plays a central role in the monitoring and operation of electric power networks. Given a set of noisy measurements, PSSE aims at estimating the vector…