Related papers: Optimal Convergence and Adaptation for Utility Opt…
We study constrained stochastic programs where the decision vector at each time slot cannot be chosen freely but is tied to the realization of an underlying random state vector. The goal is to minimize a general objective function subject…
Some variant of the Frank-Wolfe method for convex optimization problems with adaptive selection of the step parameter corresponding to information about the smoothness of the objective function (the Lipschitz constant of the gradient).…
We consider the traffic assignment problem in nonatomic routing games where the players' cost functions may be subject to random fluctuations (e.g., weather disturbances, perturbations in the underlying network, etc.). We tackle this…
In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…
The Frank-Wolfe algorithm has become a popular first-order optimization algorithm for it is simple and projection-free, and it has been successfully applied to a variety of real-world problems. Its main drawback however lies in its…
This paper focuses on the problem of \emph{constrained} \emph{stochastic} optimization. A zeroth order Frank-Wolfe algorithm is proposed, which in addition to the projection-free nature of the vanilla Frank-Wolfe algorithm makes it gradient…
This paper analyzes the convergence rates of the {\it Frank-Wolfe } method for solving convex constrained multiobjective optimization. We establish improved convergence rates under different assumptions on the objective function, the…
Traditional algorithms for stochastic optimization require projecting the solution at each iteration into a given domain to ensure its feasibility. When facing complex domains, such as positive semi-definite cones, the projection operation…
This paper considers the problem of minimizing the time average of a stochastic process subject to time average constraints on other processes. A canonical example is minimizing average power in a data network subject to multi-user…
This work studies and develop projection-free algorithms for online learning with linear optimization oracles (a.k.a. Frank-Wolfe) for handling the constraint set. More precisely, this work (i) provides an improved (optimized) variant of an…
Frank-Wolfe algorithms (FW) are popular first-order methods for solving constrained convex optimization problems that rely on a linear minimization oracle instead of potentially expensive projection-like oracles. Many works have identified…
This paper focuses on convex constrained optimization problems, where the solution is subject to a convex inequality constraint. In particular, we aim at challenging problems for which both projection into the constrained domain and a…
We consider two greedy algorithms for minimizing a convex function in a bounded convex set: an algorithm by Jones [1992] and the Frank-Wolfe (FW) algorithm. We first consider approximate versions of these algorithms. For smooth convex…
Motivated by the cloud computing paradigm, and by key optimization problems in all-optical networks, we study two variants of the classic job interval scheduling problem, where a reusable resource is allocated to competing job intervals in…
In this article, we consider the problem of unconstrained time-varying convex optimization, where the cost function changes with time. We provide an in-depth technical analysis of the problem and argue why freezing the cost at each time…
We introduce a few variants on Frank-Wolfe style algorithms suitable for large scale optimization. We show how to modify the standard Frank-Wolfe algorithm using stochastic gradients, approximate subproblem solutions, and sketched decision…
We propose an enhanced zeroth-order stochastic Frank-Wolfe framework to address constrained finite-sum optimization problems, a structure prevalent in large-scale machine-learning applications. Our method introduces a novel double variance…
It is known in \cite{beccari} that the standard explicit Euler-type scheme (such as the exponential Euler and the linear-implicit Euler schemes) with a uniform timestep, though computationally efficient, may diverge for the stochastic…
Conditional Gradient algorithms (aka Frank-Wolfe algorithms) form a classical set of methods for constrained smooth convex minimization due to their simplicity, the absence of projection steps, and competitive numerical performance. While…
Multi-user schedulers are designed to achieve optimal average system utility (e.g. throughput) subject to a set of fairness criteria. In this work, scheduling under temporal fairness constraints is considered. Prior works have shown that a…