Related papers: Two-Player Games for Efficient Non-Convex Constrai…
Despite the non-convexity of most modern machine learning parameterizations, Lagrangian duality has become a popular tool for addressing constrained learning problems. We revisit Augmented Lagrangian methods, which aim to mitigate the…
In this paper we study two-player bilinear zero-sum games with constrained strategy spaces. An instance of natural occurrences of such constraints is when mixed strategies are used, which correspond to a probability simplex constraint. We…
In this paper, we introduce faster accelerated primal-dual algorithms for minimizing a convex function subject to strongly convex function constraints. Prior to our work, the best complexity bound was $\mathcal{O}(1/{\varepsilon})$,…
We consider an N-player hierarchical game in which the i-th player's objective comprises of an expectation-valued term, parametrized by rival decisions, and a hierarchical term. Such a framework allows for capturing a broad range of…
The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…
This paper proposes a projection-free primal-dual dynamics for the nonsmooth composite optimization problems with equality and inequality constraints. To deal with optimization constraints, this paper departs from the use of gradient…
This paper proposes a new algorithm that solves non-convex optimal control problems with a theoretical guarantee for global convergence to a feasible local solution of the original problem. The proposed algorithm extends the recently…
While Group Relative Policy Optimization (GRPO) has emerged as a scalable framework for critic-free policy learning, extending it to settings with explicit behavioral constraints remains underexplored. We introduce Constrained GRPO, a…
This paper explores the potential of Lagrangian duality for learning applications that feature complex constraints. Such constraints arise in many science and engineering domains, where the task amounts to learning optimization problems…
We propose an inexact proximal augmented Lagrangian framework with explicit inner problem termination rule for composite convex optimization problems. We consider arbitrary linearly convergent inner solver including in particular stochastic…
We study online convex optimization with constraints consisting of multiple functional constraints and a relatively simple constraint set, such as a Euclidean ball. As enforcing the constraints at each time step through projections is…
We develop a second order primal-dual method for optimization problems in which the objective function is given by the sum of a strongly convex twice differentiable term and a possibly nondifferentiable convex regularizer. After introducing…
In the field of global optimization, many existing algorithms face challenges posed by non-convex target functions and high computational complexity or unavailability of gradient information. These limitations, exacerbated by sensitivity to…
In this paper, a projected primal-dual gradient flow of augmented Lagrangian is presented to solve convex optimization problems that are not necessarily strictly convex. The optimization variables are restricted by a convex set with…
This paper studies a stochastic algorithm for linearly constrained nonconvex optimization, where the objective function is smooth but only unbiased stochastic gradients with bounded variance are available. We propose a momentum-based…
In this paper, we employ a game-theoretic model to analyze the interaction between an adversary and a classifier. There are two classes (i.e., positive and negative classes) to which data points can belong. The adversary is interested in…
This note establishes a limiting formula for the conic Lagrangian dual of a convex infinite optimization problem, correcting the classical version of Karney [Math. Programming 27 (1983) 75-82] for convex semi-infinite programs. A…
Many real-world problems not only have complicated nonconvex functional constraints but also use a large number of data points. This motivates the design of efficient stochastic methods on finite-sum or expectation constrained problems. In…
First-order methods have been studied for nonlinear constrained optimization within the framework of the augmented Lagrangian method (ALM) or penalty method. We propose an improved inexact ALM (iALM) and conduct a unified analysis for…
Chance constrained program is computationally intractable due to the existence of chance constraints, which are randomly disturbed and should be satisfied with a probability. This paper proposes a two-layer randomized algorithm to address…