Related papers: An Improved Primal-Dual Interior Point Solver for …
Greedy point insertion algorithms have emerged as an attractive tool for the solution of minimization problems over the space of Radon measures. Conceptually, these methods can be split into two phases: first, the computation of a new…
In this paper, we introduce a novel iterative algorithm for the problem of phase-retrieval where the measurements consist of only the magnitude of linear function of the unknown signal, and the noise in the measurements follow Poisson…
Powerful interior-point methods (IPM) based commercial solvers, such as Gurobi and Mosek, have been hugely successful in solving large-scale linear programming (LP) problems. The high efficiency of these solvers depends critically on the…
In this paper, a centralized two-block separable optimization is considered for which a fully parallel primal-dual discrete-time algorithm with fixed step size is derived based on monotone operator splitting method. In this algorithm, the…
Interpretation of Deep Neural Networks (DNNs) training as an optimal control problem with nonlinear dynamical systems has received considerable attention recently, yet the algorithmic development remains relatively limited. In this work, we…
In this paper, we present an interior point algorithm with a full-Newton step for solving a linearly constrained convex optimization problem, in which we propose a generalization of the work of Kheirfam and Nasrollahi…
We present two quantum interior point methods for semidefinite optimization problems, building on recent advances in quantum linear system algorithms. The first scheme, more similar to a classical solution algorithm, computes an inexact…
Interior point methods (IPMs) are a common approach for solving linear programs (LPs) with strong theoretical guarantees and solid empirical performance. The time complexity of these methods is dominated by the cost of solving a linear…
In contrast with many other convex optimization classes, state-of-the-art semidefinite programming solvers are yet unable to efficiently solve large scale instances. This work aims to reduce this scalability gap by proposing a novel…
We present a primal-dual algorithmic framework to obtain approximate solutions to a prototypical constrained convex optimization problem, and rigorously characterize how common structural assumptions affect the numerical efficiency. Our…
We develop a regression based primal-dual martingale approach for solving finite time horizon MDPs with general state and action space. As a result, our method allows for the construction of tight upper and lower biased approximations of…
We address the problem of finding the optimal policy of a constrained Markov decision process (CMDP) using a gradient descent-based algorithm. Previous results have shown that a primal-dual approach can achieve an $\mathcal{O}(1/\sqrt{T})$…
The aim of this paper is to solve linear semidefinite programs arising from higher-order Lasserre relaxations of unconstrained binary quadratic optimization problems. For this we use an interior point method with a preconditioned conjugate…
Inverse source problems arise often in real-world applications, such as localizing unknown groundwater contaminant sources. Being different from Tikhonov regularization, the quasi-boundary value method has been proposed and analyzed as an…
Differential Dynamic Programming (DDP) is an efficient computational tool for solving nonlinear optimal control problems. It was originally designed as a single shooting method and thus is sensitive to the initial guess supplied. This work…
Many problems arising in image processing and signal recovery with multi-regularization can be formulated as minimization of a sum of three convex separable functions. Typically, the objective function involves a smooth function with…
Quadratic programming is a workhorse of modern nonlinear optimization, control, and data science. Although regularized methods offer convergence guarantees under minimal assumptions on the problem data, they can exhibit the slow…
This paper introduces a computationally efficient approach for solving Model Predictive Control (MPC) reference tracking problems with state and control constraints. The approach consists of three key components: First, a log-domain…
The random feature method (RFM), a mesh-free machine learning-based framework, has emerged as a promising alternative for solving PDEs on complex domains. However, for large three-dimensional nonlinear problems, attaining high accuracy…
In this paper, we put forth distributed algorithms for solving loosely coupled unconstrained and constrained optimization problems. Such problems are usually solved using algorithms that are based on a combination of decomposition and first…