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Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
In this paper we build provably near-optimal, in the minimax sense, estimates of linear forms and, more generally, "$N$-convex functionals" (the simplest example being the maximum of several fractional-linear functions) of unknown "signal"…
We estimate convex polytopes and general convex sets in $\mathbb R^d,d\geq 2$ in the regression framework. We measure the risk of our estimators using a $L^1$-type loss function and prove upper bounds on these risks. We show that, in the…
We study the regret of optimal strategies for online convex optimization games. Using von Neumann's minimax theorem, we show that the optimal regret in this adversarial setting is closely related to the behavior of the empirical…
This paper focuses on investigating an inexact stochastic model-based optimization algorithm that integrates preconditioning techniques for solving stochastic composite optimization problems. The proposed framework unifies and extends the…
We resolve the min-max complexity of distributed stochastic convex optimization (up to a log factor) in the intermittent communication setting, where $M$ machines work in parallel over the course of $R$ rounds of communication to optimize…
This article proposes a biconvex modification to convex biclustering in order to improve its performance in high-dimensional settings. In contrast to heuristics that discard a subset of noisy features a priori, our method jointly learns and…
In imaging modalities recording diffraction data, the original image can be reconstructed assuming known phases. When phases are unknown, oversampling and a constraint on the support region in the original object can be used to solve a…
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased gradient generated from the algorithm has finite variance and…
In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…
We develop a novel unified randomized block-coordinate primal-dual algorithm to solve a class of nonsmooth constrained convex optimization problems, which covers different existing variants and model settings from the literature. We prove…
We study the problem of estimating low-rank matrices from linear measurements (a.k.a., matrix sensing) through nonconvex optimization. We propose an efficient stochastic variance reduced gradient descent algorithm to solve a nonconvex…
This paper introduces mixed-integer optimization methods to solve regression problems that incorporate fairness metrics. We propose an exact formulation for training fair regression models. To tackle this computationally hard problem, we…
Our focus is on robust recovery algorithms in statistical linear inverse problem. We consider two recovery routines - the much studied linear estimate originating from Kuks and Olman [42] and polyhedral estimate introduced in [37]. It was…
High-dimensional linear regression under heavy-tailed noise or outlier corruption is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs,…
In this paper, we study the problem of recovering a low-rank matrix (the principal components) from a high-dimensional data matrix despite both small entry-wise noise and gross sparse errors. Recently, it has been shown that a convex…
In this paper, we study a new notion of scaled minimaxity for sparse estimation in high-dimensional linear regression model. We present more optimistic lower bounds than the one given by the classical minimax theory and hence improve on…
Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the…
We consider the problem of recovering a target matrix that is a superposition of low-rank and sparse components, from a small set of linear measurements. This problem arises in compressed sensing of structured high-dimensional signals such…
Separable convex optimization problems with linear ascending inequality and equality constraints are addressed in this paper. Under an ordering condition on the slopes of the functions at the origin, an algorithm that determines the optimum…