Related papers: Generalized Conjugate Gradient Methods for $\ell_1…
Stochastic gradient descent (SGD) method is popular for solving non-convex optimization problems in machine learning. This work investigates SGD from a viewpoint of graduated optimization, which is a widely applied approach for non-convex…
We study the global linear convergence of policy gradient (PG) methods for finite-horizon continuous-time exploratory linear-quadratic control (LQC) problems. The setting includes stochastic LQC problems with indefinite costs and allows…
Convex quadratic programming (QP) is an important class of optimization problem with wide applications in practice. The classic QP solvers are based on either simplex or barrier method, both of which suffer from the scalability issue…
The stochastic gradient descent (SGD) method is a widely used approach for solving stochastic optimization problems, but its convergence is typically slow. Existing variance reduction techniques, such as SAGA, improve convergence by…
A coarse grid correction (CGC) approach is proposed to enhance the efficiency of the matrix exponential and $\varphi$ matrix function evaluations. The approach is intended for iterative methods computing the matrix-vector products with…
We propose a new algorithm for finite sum optimization which we call the curvature-aided incremental aggregated gradient (CIAG) method. Motivated by the problem of training a classifier for a d-dimensional problem, where the number of…
In this article, a globally convergent sequential quadratic programming (SQP) method is developed for multi-objective optimization problems with inequality type constraints. A feasible descent direction is obtained using a linear…
While there has been a significant amount of work studying gradient descent techniques for non-convex optimization problems over the last few years, all existing results establish either local convergence with good rates or global…
We consider simple bilevel optimization problems where the goal is to compute among the optimal solutions of a composite convex optimization problem, one that minimizes a secondary objective function. Our main contribution is threefold. (i)…
Gradient methods have applications in multiple fields, including signal processing, image processing, and dynamic systems. In this paper, we present a nonlinear gradient method for solving convex supra-quadratic functions by developing the…
Quadratic programming (QP) is a fundamental optimization model with wide-ranging applications in decision-making and machine learning, yet efficiently solving large-scale instances remains a major computational challenge. Building upon the…
The iteration complexity of the block-coordinate descent (BCD) type algorithm has been under extensive investigation. It was recently shown that for convex problems the classical cyclic BCGD (block coordinate gradient descent) achieves an…
Convex separable quadratic optimization problems occur in many practical applications. In this paper, based on an iterative resolution scheme of the KKT system, we develop an efficient method for solving a quadratic programming problem with…
Since the development of the conjugate gradient (CG) method in 1952 by Hestenes and Stiefel, CG, has become an indispensable tool in computational mathematics for solving positive definite linear systems. On the other hand, the conjugate…
We study diffusion and consensus based optimization of a sum of unknown convex objective functions over distributed networks. The only access to these functions is through stochastic gradient oracles, each of which is only available at a…
Regularized least-squares (kernel-ridge / Gaussian process) regression is a fundamental algorithm of statistics and machine learning. Because generic algorithms for the exact solution have cubic complexity in the number of datapoints, large…
The proximal gradient algorithm has been popularly used for convex optimization. Recently, it has also been extended for nonconvex problems, and the current state-of-the-art is the nonmonotone accelerated proximal gradient algorithm.…
Recently, a Riemannian proximal Newton method has been developed for optimizing problems in the form of $\min_{x\in\mathcal{M}} f(x) + \mu \|x\|_1$, where $\mathcal{M}$ is a compact embedded submanifold and $f(x)$ is smooth. Although this…
Sketched gradient algorithms have been recently introduced for efficiently solving the large-scale constrained Least-squares regressions. In this paper we provide novel convergence analysis for the basic method {\it Gradient Projection…
This paper deals with the minimization of large sum of convex functions by Inexact Newton (IN) methods employing subsampled functions, gradients and Hessian approximations. The Conjugate Gradient method is used to compute the inexact Newton…