Related papers: Approximation Methods for Bilevel Programming
In this paper, we consider a bilevel polynomial optimization problem where the objective and the constraint functions of both the upper and the lower level problems are polynomials. We present methods for finding its global minimizers and…
This paper considers stochastic optimization problems for a large class of objective functions, including convex and continuous submodular. Stochastic proximal gradient methods have been widely used to solve such problems; however, their…
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…
In this paper, we introduce a stochastic projected subgradient method for weakly convex (i.e., uniformly prox-regular) nonsmooth, nonconvex functions---a wide class of functions which includes the additive and convex composite classes. At a…
We revisit the classical dual ascent algorithm for minimization of convex functionals in the presence of linear constraints, and give convergence results which apply even for non-convex functionals. We describe limit points in terms of the…
Finding multiple solutions of non-convex optimization problems is a ubiquitous yet challenging task. Most past algorithms either apply single-solution optimization methods from multiple random initial guesses or search in the vicinity of…
In this paper, we design, analyze, and implement a variant of the two-loop L-shaped algorithms for solving two-stage stochastic programming problems that arise from important application areas including revenue management and power systems.…
This paper focuses on investigating an inexact stochastic model-based optimization algorithm that integrates preconditioning techniques for solving stochastic composite optimization problems. The proposed framework unifies and extends the…
This paper deals with convex nonsmooth optimization problems. We introduce a general smooth approximation framework for the original function and apply random (accelerated) coordinate descent methods for minimizing the corresponding smooth…
In structured prediction problems where we have indirect supervision of the output, maximum marginal likelihood faces two computational obstacles: non-convexity of the objective and intractability of even a single gradient computation. In…
One fundamental problem when solving inverse problems is how to find regularization parameters. This article considers solving this problem using data-driven bilevel optimization, i.e. we consider the adaptive learning of the regularization…
In this paper we analyze a class of nonconvex optimization problem from the viewpoint of abstract convexity. Using the respective generalizations of the subgradient we propose an abstract notion proximal operator and derive a number of…
Majorization-minimization algorithms consist of successively minimizing a sequence of upper bounds of the objective function. These upper bounds are tight at the current estimate, and each iteration monotonically drives the objective…
We consider stochastic convex optimization with a strongly convex (but not necessarily smooth) objective. We give an algorithm which performs only gradient updates with optimal rate of convergence.
Estimating hyperparameters has been a long-standing problem in machine learning. We consider the case where the task at hand is modeled as the solution to an optimization problem. Here the exact gradient with respect to the hyperparameters…
In this paper, we study a class of bilevel optimization program (BP), where the feasible set of the lower level program is independent of the upper level variable. For bilevel programs it is known that the first order approach requires the…
In this paper, we study and analyze zeroth-order stochastic approximation algorithms for solving bilvel problems, when neither the upper/lower objective values, nor their unbiased gradient estimates are available. In particular, exploiting…
In this paper we begin by discussing the simple bilevel programming problem (SBP) and its extension the simple mathematical programming problem under equilibrium constraints (SMPEC). Here we first define both these problems and study their…
We consider convex stochastic optimization problems under different assumptions on the properties of available stochastic subgradient. It is known that, if the value of the objective function is available, one can obtain, in parallel,…
We consider minimizing an objective function subject to constraints defined by the intersection of lower-level sets of convex functions. We study two cases: (i) strongly convex and Lipschitz-smooth objective function and (ii) convex but…