Related papers: A Method to Guarantee Local Convergence for Sequen…
In the literature, besides the assumption of strict complementarity, superlinear convergence of implementable polynomial-time interior point algorithms using known search directions, namely, the HKM direction, its dual or the NT direction,…
We present two new remarkably simple stochastic second-order methods for minimizing the average of a very large number of sufficiently smooth and strongly convex functions. The first is a stochastic variant of Newton's method (SN), and the…
We propose a DC proximal Newton algorithm for solving nonconvex regularized sparse learning problems in high dimensions. Our proposed algorithm integrates the proximal Newton algorithm with multi-stage convex relaxation based on the…
A sparse linear programming (SLP) problem is a linear programming problem equipped with a sparsity (or cardinality) constraint, which is nonconvex and discontinuous theoretically and generally NP-hard computationally due to the…
Successive quadratic approximations, or second-order proximal methods, are useful for minimizing functions that are a sum of a smooth part and a convex, possibly nonsmooth part that promotes regularization. Most analyses of iteration…
In this paper, we investigate a special class of quadratic-constrained quadratic programming (QCQP) with semi-definite constraints. Traditionally, since such a problem is non-convex and N-hard, the neural network (NN) is regarded as a…
We introduce the Suggest-and-Improve framework for general nonconvex quadratically constrained quadratic programs (QCQPs). Using this framework, we generalize a number of known methods and provide heuristics to get approximate solutions to…
We consider minimizing a smooth and strongly convex objective function using a stochastic Newton method. At each iteration, the algorithm is given an oracle access to a stochastic estimate of the Hessian matrix. The oracle model includes…
Machine Learning (ML) optimization frameworks have gained attention for their ability to accelerate the optimization of large-scale Quadratically Constrained Quadratic Programs (QCQPs) by learning shared problem structures. However,…
Many data-fitting applications require the solution of an optimization problem involving a sum of large number of functions of high dimensional parameter. Here, we consider the problem of minimizing a sum of $n$ functions over a convex…
We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two…
The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without assuming convexity or concavity of the quadratic form, the StQP is NP-hard. This problem has many interesting…
The generalized quadratic assignment problem (GQAP) is one of the hardest problems to solve in the operations research area. The GQAP addressed in this work is defined as the task of minimizing the assignment and transportation costs of…
A sequential quadratic optimization algorithm for minimizing an objective function defined by an expectation subject to nonlinear inequality and equality constraints is proposed, analyzed, and tested. The context of interest is when it is…
A very popular approach for solving stochastic optimization problems is the stochastic gradient descent method (SGD). Although the SGD iteration is computationally cheap and the practical performance of this method may be satisfactory under…
This paper presents PIQP, a high-performance toolkit for solving generic sparse quadratic programs (QP). Combining an infeasible Interior Point Method (IPM) with the Proximal Method of Multipliers (PMM), the algorithm can handle…
Quadratically constrained quadratic programs (QCQPs) are a fundamental class of optimization problems well-known to be NP-hard in general. In this paper we study sufficient conditions for a convex hull result that immediately implies that…
Understanding and approximating extremal energy states of local Hamiltonians is a central problem in quantum physics and complexity theory. Recent work has focused on developing approximation algorithms for local Hamiltonians, and in…
Many problems of theoretical and practical interest involve finding an optimum over a family of convex functions. For instance, finding the projection on the convex functions in $H^k(\Omega)$, and optimizing functionals arising from some…
By enabling constraint-aware online model adaptation, model predictive control using Gaussian process (GP) regression has exhibited impressive performance in real-world applications and received considerable attention in the learning-based…