Related papers: A DCA-Like Algorithm and its Accelerated Version w…

We describe and analyze a simple algorithm for principal component analysis and singular value decomposition, VR-PCA, which uses computationally cheap stochastic iterations, yet converges exponentially fast to the optimal solution. In…

We consider minimization of the sum of a large number of convex functions, and we propose an incremental aggregated version of the proximal algorithm, which bears similarity to the incremental aggregated gradient and subgradient methods…

We propose an accelerated version of stochastic variance reduced coordinate descent -- ASVRCD. As other variance reduced coordinate descent methods such as SEGA or SVRCD, our method can deal with problems that include a non-separable and…

In this paper, a distributed convex optimization algorithm, termed \emph{distributed coordinate dual averaging} (DCDA) algorithm, is proposed. The DCDA algorithm addresses the scenario of a large distributed optimization problem with…

We continue to consider the discrete decreasing minimization problem on an integral base-polyhedron treated in Part I. The problem is to find a lexicographically minimal integral vector in an integral base-polyhedron, where the components…

In prior works, stochastic dual coordinate ascent (SDCA) has been parallelized in a multi-core environment where the cores communicate through shared memory, or in a multi-processor distributed memory environment where the processors…

In this paper, we propose a randomized accelerated method for the minimization of a strongly convex function under linear constraints. The method is of Kaczmarz-type, i.e. it only uses a single linear equation in each iteration. To obtain…

Dual averaging and gradient descent with their stochastic variants stand as the two canonical recipe books for first-order optimization: Every modern variant can be viewed as a descendant of one or the other. In the convex regime, these…

In this paper, we propose a unified view of gradient-based algorithms for stochastic convex composite optimization by extending the concept of estimate sequence introduced by Nesterov. More precisely, we interpret a large class of…

This paper considers the distributed optimization problem over a network, where the objective is to optimize a global function formed by a sum of local functions, using only local computation and communication. We develop an Accelerated…

We study the consensus decentralized optimization problem where the objective function is the average of $n$ agents private non-convex cost functions; moreover, the agents can only communicate to their neighbors on a given network topology.…

Alternating minimization (AM) procedures are practically efficient in many applications for solving convex and non-convex optimization problems. On the other hand, Nesterov's accelerated gradient is theoretically optimal first-order method…

For a linear equality constrained convex optimization problem involving two objective functions with a ``nonsmooth" + ``nonsmooth" composite structure, we study two algorithms derived from a mixed-order dynamical system which incorporates…

In this paper, we consider the sparse eigenvalue problem wherein the goal is to obtain a sparse solution to the generalized eigenvalue problem. We achieve this by constraining the cardinality of the solution to the generalized eigenvalue…

Solving structured systems of linear equations in a non-centralized fashion is an important step in many distributed optimization and control algorithms. Fast convergence is required in manifold applications. Known decentralized algorithms,…

In this paper, we consider multi-stage stochastic optimization problems with convex objectives and conic constraints at each stage. We present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm,…

In this paper, we study a class of nonconvex and nonsmooth structured difference-of-convex (DC) programs, which contain in the convex part the sum of a nonsmooth linearly composed convex function and a differentiable function, and in the…

In this paper, we consider a class of difference-of-convex (DC) optimization problems, which require only a weaker restricted $L$-smooth adaptable property on the smooth part of the objective function, instead of the standard global…

This paper introduces a second-order differential inclusion for unconstrained convex optimization. In continuous level, solution existence in proper sense is obtained and exponential decay of a novel Lyapunov function along with the…

Many important machine learning applications involve regularized nonconvex bi-level optimization. However, the existing gradient-based bi-level optimization algorithms cannot handle nonconvex or nonsmooth regularizers, and they suffer from…