Related papers: Frank-Wolfe Works for Non-Lipschitz Continuous Gra…
We consider the problem of minimizing a smooth and convex function over the $n$-dimensional spectrahedron -- the set of real symmetric $n\times n$ positive semidefinite matrices with unit trace, which underlies numerous applications in…
A recently proposed convex formulation of the phase retrieval problem estimates the unknown signal by solving a simple linear program. This new scheme, known as PhaseMax, is computationally efficient compared to standard convex relaxation…
The difference-of-convex (DC) program is an important model in nonconvex optimization due to its structure, which encompasses a wide range of practical applications. In this paper, we aim to tackle a generalized class of DC programs, where…
We tackle robust optimization problems under objective uncertainty in the oracle model, i.e., when the deterministic problem is solved by an oracle. The oracle-based setup is favorable in many situations, e.g., when a compact formulation of…
Phase retrieval(PR) problem is a kind of ill-condition inverse problem which can be found in various of applications. Utilizing the sparse priority, an algorithm called SWF(Sparse Wirtinger Flow) is proposed in this paper to deal with…
An adaptive regularization algorithm for unconstrained nonconvex optimization is presented in which the objective function is never evaluated, but only derivatives are used. This algorithm belongs to the class of adaptive regularization…
Online optimization has been a successful framework for solving large-scale problems under computational constraints and partial information. Current methods for online convex optimization require either a projection or exact gradient…
In this paper, we present the first explicit and non-asymptotic global convergence rates of the BFGS method when implemented with an inexact line search scheme satisfying the Armijo-Wolfe conditions. We show that BFGS achieves a global…
This paper presents a stochastic block-coordinate proximal Newton method for minimizing the sum of a blockwise Lipschitz-continuously differentiable function and a separable nonsmooth convex function. At each iteration, the method randomly…
We consider optimization problems in which the goal is find a $k$-dimensional subspace of $\mathbb{R}^n$, $k<<n$, which minimizes a convex and smooth loss. Such problems generalize the fundamental task of principal component analysis (PCA)…
The phase retrieval problem has garnered significant attention since the development of the PhaseLift algorithm, which is a convex program that operates in a lifted space of matrices. Because of the substantial computational cost due to…
We consider the problem of regularized Poisson Non-negative Matrix Factorization (NMF) problem, encompassing various regularization terms such as Lipschitz and relatively smooth functions, alongside linear constraints. This problem holds…
We provide a template to derive convergence rates for the following popular versions of the Frank-Wolfe algorithm on polytopes: vanilla Frank-Wolfe, Frank-Wolfe with away steps, Frank-Wolfe with blended pairwise steps, and Frank-Wolfe with…
We consider the stochastic approximation problem where a convex function has to be minimized, given only the knowledge of unbiased estimates of its gradients at certain points, a framework which includes machine learning methods based on…
We introduce novel techniques to enhance Frank-Wolfe algorithms by leveraging function smoothness beyond traditional short steps. Our study focuses on Frank-Wolfe algorithms with step sizes that incorporate primal-dual guarantees, offering…
Phase retrieval (PR) is a popular research topic in signal processing and machine learning. However, its performance degrades significantly when the measurements are corrupted by noise or outliers. To address this limitation, we propose a…
Stochastic compositional optimization minimizes objectives of the form $\min_{\bm{x} \in \mathcal{X}} F(\bm{f}(\bm{x}), \bm{x})$, where $\bm{f}$ is accessible only through noisy stochastic queries. Existing methods for this problem assume…
We propose an accelerated algorithm with a Frank-Wolfe method as an oracle for solving strongly monotone variational inequality problems. While standard solution approaches, such as projected gradient descent (aka value iteration), involve…
Consider the task of recovering an unknown $n$-vector from phaseless linear measurements. This task is the phase retrieval problem. Through the technique of lifting, this nonconvex problem may be convexified into a semidefinite rank-one…
We present an exact algorithm for mean-risk optimization subject to a budget constraint, where decision variables may be continuous or integer. The risk is measured by the covariance matrix and weighted by an arbitrary monotone function,…