Related papers: Matrix-Free Solvers for Exact Penalty Subproblems

This paper describes a novel method to solve average-reward semi-Markov decision processes, by reducing them to a minimal sequence of cumulative reward problems. The usual solution methods for this type of problems update the gain (optimal…

We propose a new randomized algorithm for solving convex optimization problems that have a large number of constraints (with high probability). Existing methods like interior-point or Newton-type algorithms are hard to apply to such…

In this paper, we aim to develop a simple and scalable reinforcement learning algorithm that uses standard supervised learning methods as subroutines. Our goal is an algorithm that utilizes only simple and convergent maximum likelihood loss…

Penalty methods are a well known class of algorithms for constrained optimization. They transform a constrained problem into a sequence of unconstrained \emph{penalized} problems in the hope that approximate solutions of the latter converge…

We present MADAM, a parallel semidefinite based exact solver for Max-Cut, a problem of finding the cut with maximum weight in a given graph. The algorithm uses branch and bound paradigm that applies alternating direction method of…

Here, we focus on Model Order Reduction (MOR) of non-parametric second-order dynamical systems. In these MOR algorithms, sequences of large and sparse linear systems arise during the model reduction process. Solving such linear systems is…

Many least squares problems involve affine equality and inequality constraints. Although there are variety of methods for solving such problems, most statisticians find constrained estimation challenging. The current paper proposes a new…

Estimation of the precision matrix (or inverse covariance matrix) is of great importance in statistical data analysis and machine learning. However, as the number of parameters scales quadratically with the dimension $p$, computation…

The iterative algorithm recently proposed by Waxman for solving eigenvalue problems, which relies on the method of moments, has been modified to improve its convergence considerably without sacrificing its benefits or elegance. The…

We develop several provably efficient model-free reinforcement learning (RL) algorithms for infinite-horizon average-reward Markov Decision Processes (MDPs). We consider both online setting and the setting with access to a simulator. In the…

In this paper, we consider a class of nonconvex-linear minimax problems on Riemannian manifolds, which find wide applications in machine learning and signal processing. For solving this class of problems, we develop a flexible Riemannian…

In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solving dynamic programs by providing lower-upper bounds on the…

We propose an algorithm for generating explicit solutions of multiparametric mixed-integer convex programs to within a given suboptimality tolerance. The algorithm is applicable to a very general class of optimization problems, but is most…

This paper introduces a novel algorithm to approximate the matrix with minimum nuclear norm among all matrices obeying a set of convex constraints. This problem may be understood as the convex relaxation of a rank minimization problem, and…

The recovery of sparse data is at the core of many applications in machine learning and signal processing. While such problems can be tackled using $\ell_1$-regularization as in the LASSO estimator and in the Basis Pursuit approach,…

This paper addresses the problem of Unbalanced Optimal Transport (UOT) in which the marginal conditions are relaxed (using weighted penalties in lieu of equality) and no additional regularization is enforced on the OT plan. In this context,…

Low-rank matrix completion consists of computing a matrix of minimal complexity that recovers a given set of observations as accurately as possible. Unfortunately, existing methods for matrix completion are heuristics that, while highly…

We study quantum algorithms for approximating Lasserre's hierarchy values for polynomial optimization. Let $f,g_1,\ldots,g_m$ be real polynomials in $n$ variables and $f^\star$ the infimum of $f$ over the semialgebraic set $S(g)=\{x:…

In this paper we study a worst case to average case reduction for the problem of matrix multiplication over finite fields. Suppose we have an efficient average case algorithm, that given two random matrices $A,B$ outputs a matrix that has a…

We present a randomized primal-dual algorithm that solves the problem $\min_{x} \max_{y} y^\top A x$ to additive error $\epsilon$ in time $\mathrm{nnz}(A) + \sqrt{\mathrm{nnz}(A)n}/\epsilon$, for matrix $A$ with larger dimension $n$ and…