Related papers: A Primal Dual Active Set with Continuation Algorit…
In regularized risk minimization, the associated optimization problem becomes particularly difficult when both the loss and regularizer are nonsmooth. Existing approaches either have slow or unclear convergence properties, are restricted to…
The Primal-Dual (PD) algorithm is widely used in convex optimization to determine saddle points. While the stability of the PD algorithm can be easily guaranteed, strict contraction is nontrivial to establish in most cases. This work…
Proximal splitting algorithms are well suited to solving large-scale nonsmooth optimization problems, in particular those arising in machine learning. We propose a new primal-dual algorithm, in which the dual update is randomized;…
This paper develops a distributed primal-dual algorithm via event-triggered mechanism to solve a class of convex optimization problems subject to local set constraints, coupled equality and inequality constraints. Different from some…
Based on the idea of randomized coordinate descent of $\alpha$-averaged operators, a randomized primal-dual optimization algorithm is introduced, where a random subset of coordinates is updated at each iteration. The algorithm builds upon a…
This paper investigates the box-constrained $\ell_0$-regularized sparse optimization problem. We introduce the concept of a $\tau$-stationary point and establish its connection to the local and global minima of the box-constrained…
When solving rank-deficient or discrete ill-posed problems by regularization methods, the choice of the regularization parameter is crucial. It is also of interest, the regularization norm used in the selection of the solution. In this…
Compressed sensing with sparse frame representations is seen to have much greater range of practical applications than that with orthonormal bases. In such settings, one approach to recover the signal is known as $\ell_1$-analysis. We…
We describe novel subgradient methods for a broad class of matrix optimization problems involving nuclear norm regularization. Unlike existing approaches, our method executes very cheap iterations by combining low-rank stochastic…
In this work we present a novel optimization strategy for image reconstruction tasks under analysis-based image regularization, which promotes sparse and/or low-rank solutions in some learned transform domain. We parameterize such…
Tensor factorization with hard and/or soft constraints has played an important role in signal processing and data analysis. However, existing algorithms for constrained tensor factorization have two drawbacks: (i) they require…
In this paper, a multi-parameterized proximal point algorithm combining with a relaxation step is developed for solving convex minimization problem subject to linear constraints. We show its global convergence and sublinear convergence rate…
We study a class of optimization problems in which the objective function is given by the sum of a differentiable but possibly nonconvex component and a nondifferentiable convex regularization term. We introduce an auxiliary variable to…
We reconsider the stochastic (sub)gradient approach to the unconstrained primal L1-SVM optimization. We observe that if the learning rate is inversely proportional to the number of steps, i.e., the number of times any training pattern is…
We present a hierarchical model predictive control approach for large-scale systems based on dual decomposition. The proposed scheme allows coupling in both dynamics and constraints between the subsystems and generates a primal feasible…
We study the ridge regression (L2 regularized least squares) problem and its dual, which is also a ridge regression problem. We observe that the optimality conditions describing the primal and dual optimal solutions can be formulated in…
We investigate implicit regularization schemes for gradient descent methods applied to unpenalized least squares regression to solve the problem of reconstructing a sparse signal from an underdetermined system of linear measurements under…
We develop a first-order accelerated algorithm for a class of constrained bilinear saddle-point problems with applications to network systems. The algorithm is a modified time-varying primal-dual version of an accelerated mirror-descent…
This paper derives a discrete dual problem for a prototypical hybrid high-order method for convex minimization problems. The discrete primal and dual problem satisfy a weak convex duality that leads to a priori error estimates with…
The paper proposes a linesearch for a primal-dual method. Each iteration of the linesearch requires to update only the dual (or primal) variable. For many problems, in particular for regularized least squares, the linesearch does not…