Related papers: An inexact subsampled proximal Newton-type method …
Many recent studies on first-order methods (FOMs) focus on \emph{composite non-convex non-smooth} optimization with linear and/or nonlinear function constraints. Upper (or worst-case) complexity bounds have been established for these…
We formulate the sparse classification problem of $n$ samples with $p$ features as a binary convex optimization problem and propose a cutting-plane algorithm to solve it exactly. For sparse logistic regression and sparse SVM, our algorithm…
This work proposes a universal and adaptive second-order method for minimizing second-order smooth, convex functions. Our algorithm achieves $O(\sigma / \sqrt{T})$ convergence when the oracle feedback is stochastic with variance $\sigma^2$,…
An inexact Newton type method for numerical minimization of convex piecewise quadratic functions is considered and its convergence is analyzed. Earlier, a similar method was successfully applied to optimizaton problems arising in numerical…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
Robust covariance estimation is the following, well-studied problem in high dimensional statistics: given $N$ samples from a $d$-dimensional Gaussian $\mathcal{N}(\boldsymbol{0}, \Sigma)$, but where an $\varepsilon$-fraction of the samples…
In this work we present an adaptive Newton-type method to solve nonlinear constrained optimization problems in which the constraint is a system of partial differential equations discretized by the finite element method. The adaptive…
A wide class of regularization problems in machine learning and statistics employ a regularization term which is obtained by composing a simple convex function \omega with a linear transformation. This setting includes Group Lasso methods,…
We introduce a notion of self-concordant smoothing for minimizing the sum of two convex functions, one of which is smooth and the other nonsmooth. The key highlight is a natural property of the resulting problem's structure that yields a…
We present a new algorithm for finding an $\epsilon$-approximate fixed point of an $\ell_\infty$-contracting function $f : [0, 1]^d \rightarrow [0, 1]^d$. Our algorithm is based on the query-efficient algorithm by Chen, Li, and Yannakakis…
We give the first agnostic, efficient, proper learning algorithm for monotone Boolean functions. Given $2^{\tilde{O}(\sqrt{n}/\varepsilon)}$ uniformly random examples of an unknown function $f:\{\pm 1\}^n \rightarrow \{\pm 1\}$, our…
We study the optimal lower and upper complexity bounds for finding approximate solutions to the composite problem $\min_x\ f(x)+h(Ax-b)$, where $f$ is smooth and $h$ is convex. Given access to the proximal operator of $h$, for strongly…
We introduce innovative algorithms for computing exact or approximate (minimum-norm) solutions to $Ax=b$ or the {\it normal equation} $A^TAx=A^Tb$, where $A$ is an $m \times n$ real matrix of arbitrary rank. We present more efficient…
We consider the problem of minimizing an objective function that is the sum of a convex function and a group sparsity-inducing regularizer. Problems that integrate such regularizers arise in modern machine learning applications, often for…
A regularization algorithm allowing random noise in derivatives and inexact function values is proposed for computing approximate local critical points of any order for smooth unconstrained optimization problems. For an objective function…
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…
We present a principled approach for designing stochastic Newton methods for solving finite sum optimization problems. Our approach has two steps. First, we re-write the stationarity conditions as a system of nonlinear equations that…
We develop a globalized Proximal Newton method for composite and possibly non-convex minimization problems in Hilbert spaces. Additionally, we impose less restrictive assumptions on the composite objective functional considering…
In this paper, a novel stochastic extra-step quasi-Newton method is developed to solve a class of nonsmooth nonconvex composite optimization problems. We assume that the gradient of the smooth part of the objective function can only be…
We generalize the monotone local search approach of Fomin, Gaspers, Lokshtanov and Saurabh [J. ACM 2019], by establishing a connection between parameterized approximation and exponential-time approximation algorithms for monotone subset…