Related papers: A Simple Convergence Time Analysis of Drift-Plus-P…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
In this paper, an inexact proximal-point penalty method is studied for constrained optimization problems, where the objective function is non-convex, and the constraint functions can also be non-convex. The proposed method approximately…
This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…
The drift-plus-penalty method is a Lyapunov optimisation technique commonly applied to network routing problems. It reduces the original stochastic planning task to a sequence of greedy optimizations, enabling the design of distributed…
We develop two new proximal alternating penalty algorithms to solve a wide range class of constrained convex optimization problems. Our approach mainly relies on a novel combination of the classical quadratic penalty, alternating…
This paper studies the distributed bandit convex optimization problem with time-varying inequality constraints, where the goal is to minimize network regret and cumulative constraint violation. To calculate network cumulative constraint…
Stochastic gradient descent (SGD) is a simple and popular method to solve stochastic optimization problems which arise in machine learning. For strongly convex problems, its convergence rate was known to be O(\log(T)/T), by running SGD for…
This paper considers optimization over multiple renewal systems coupled by time average constraints. These systems act asynchronously over variable length frames. For each system, at the beginning of each renewal frame, it chooses an action…
We consider the problem of joint routing and scheduling in queueing networks, where the edge transmission costs are unknown. At each time-slot, the network controller receives noisy observations of transmission costs only for those edges it…
Constrained optimization with multiple functional inequality constraints has significant applications in machine learning. This paper examines a crucial subset of such problems where both the objective and constraint functions are weakly…
This paper considers distributed online convex optimization with adversarial constraints. In this setting, a network of agents makes decisions at each round, and then only a portion of the loss function and a coordinate block of the…
In this work, we study the task of distributed optimization over a network of learners in which each learner possesses a convex cost function, a set of affine equality constraints, and a set of convex inequality constraints. We propose a…
Sparse Gaussian graphical models characterize sparse dependence relationships between random variables in a network. To estimate multiple related Gaussian graphical models on the same set of variables, we formulate a hierarchical model,…
The paper concerns optimization problems with general equality and inequality constraints and with constraints expressed by a convex set. In order to solve these problems, the general constraints are treated by an exact penalty functions…
This paper considers the fundamental convergence time for opportunistic scheduling over time-varying channels. The channel state probabilities are unknown and algorithms must perform some type of estimation and learning while they make…
This paper considers distributed online nonconvex optimization with time-varying inequality constraints over a network of agents. For a time-varying graph, we propose a distributed online primal-dual algorithm with compressed communication…
This paper considers a wireless link with randomly arriving data that is queued and served over a time-varying channel. It is known that any algorithm that comes within $\epsilon$ of the minimum average power required for queue stability…
Mini-batch optimization has proven to be a powerful paradigm for large-scale learning. However, the state of the art parallel mini-batch algorithms assume synchronous operation or cyclic update orders. When worker nodes are heterogeneous…
We consider the problem of asynchronous stochastic optimization, where an optimization algorithm makes updates based on stale stochastic gradients of the objective that are subject to an arbitrary (possibly adversarial) sequence of delays.…
In distributed optimization, the communication of model updates can be a performance bottleneck. Consequently, gradient compression has been proposed as a means of increasing optimization throughput. In general, due to information loss,…