Related papers: The Alternating Descent Conditional Gradient Metho…
In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…
In this paper, a modification to the Gradient Sampling (GS) method for minimizing nonsmooth nonconvex functions is presented. One drawback in GS method is the need of solving a Quadratic optimization Problem (QP) at each iteration, which is…
In this note we aim at putting more emphasis on the fact that trying to solve non-convex optimization problems with coordinate-descent iterative linear matrix inequality algorithms leads to suboptimal solutions, and put forward other…
Several recent works have explored stochastic gradient methods for variational inference that exploit the geometry of the variational-parameter space. However, the theoretical properties of these methods are not well-understood and these…
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…
Solving inverse problems, such as parameter estimation and optimal control, is a vital part of science. Many experiments repeatedly collect data and rely on machine learning algorithms to quickly infer solutions to the associated inverse…
Recent years have seen a flurry of activities in designing provably efficient nonconvex procedures for solving statistical estimation problems. Due to the highly nonconvex nature of the empirical loss, state-of-the-art procedures often…
Sparse additive modeling is a class of effective methods for performing high-dimensional nonparametric regression. In this work we show how shape constraints such as convexity/concavity and their extensions, can be integrated into additive…
Signal processing is rich in inherently continuous and often nonlinear applications, such as spectral estimation, optical imaging, and super-resolution microscopy, in which sparsity plays a key role in obtaining state-of-the-art results.…
This paper considers the decentralized convex optimization problem, which has a wide range of applications in large-scale machine learning, sensor networks, and control theory. We propose novel algorithms that achieve optimal computation…
In this paper, we deal with multiobjective composite optimization problems, where each objective function is a combination of smooth and possibly non-smooth functions. We first propose a parameter-dependent conditional gradient method to…
In this paper, we investigate accelerated first-order methods for smooth convex optimization problems under inexact information on the gradient of the objective. The noise in the gradient is considered to be additive with two possibilities:…
This paper presents a novel algorithm that leverages Stochastic Gradient Descent strategies in conjunction with Random Features to augment the scalability of Conic Particle Gradient Descent (CPGD) specifically tailored for solving sparse…
A new decomposition optimization algorithm, called \textit{path-following gradient-based decomposition}, is proposed to solve separable convex optimization problems. Unlike path-following Newton methods considered in the literature, this…
We present the framework of slowly varying regression under sparsity, allowing sparse regression models to exhibit slow and sparse variations. The problem of parameter estimation is formulated as a mixed-integer optimization problem. We…
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…
Sparse inverse covariance selection is a fundamental problem for analyzing dependencies in high dimensional data. However, such a problem is difficult to solve since it is NP-hard. Existing solutions are primarily based on convex…
In this paper, we consider the problem of minimizing the sum of two convex functions subject to linear linking constraints. The classical alternating direction type methods usually assume that the two convex functions have relatively easy…
In this paper, we consider gradient-type methods for convex positively homogeneous optimization problems with relative accuracy. An analogue of the accelerated universal gradient-type method for positively homogeneous optimization problems…
We present a new class of gradient-type optimization methods that extends vanilla gradient descent, mirror descent, Riemannian gradient descent, and natural gradient descent. Our approach involves constructing a surrogate for the objective…