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In this paper, we propose an inexact Augmented Lagrangian Method (ALM) for the optimization of convex and nonsmooth objective functions subject to linear equality constraints and box constraints where errors are due to fixed-point data. To…
We present a novel adaptive optimization algorithm for large-scale machine learning problems. Equipped with a low-cost estimate of local curvature and Lipschitz smoothness, our method dynamically adapts the search direction and step-size.…
We propose a primal-dual smoothing framework for finding a near-stationary point of a class of non-smooth non-convex optimization problems with max-structure. We analyze the primal and dual gradient complexities of the framework via two…
Numerous multi-objective evolutionary algorithms have been designed for constrained optimisation over past two decades. The idea behind these algorithms is to transform constrained optimisation problems into multi-objective optimisation…
A distribution shift between the training and test data can severely harm performance of machine learning models. Importance weighting addresses this issue by assigning different weights to data points during training. We argue that…
We propose a regularized saddle-point algorithm for convex networked optimization problems with resource allocation constraints. Standard distributed gradient methods suffer from slow convergence and require excessive communication when…
Minimax optimization has become a central tool in machine learning with applications in robust optimization, reinforcement learning, GANs, etc. These applications are often nonconvex-nonconcave, but the existing theory is unable to identify…
The proliferation of saddle points, rather than poor local minima, is increasingly understood to be a primary obstacle in large-scale non-convex optimization for machine learning. Variable elimination algorithms, like Variable Projection…
Causal inference in modern largescale systems faces growing challenges, including highdimensional covariates, multi-valued treatments, massive observational (OBS) data, and limited randomized controlled trial (RCT) samples due to cost…
The weight decay regularization term is widely used during training to constrain expressivity, avoid overfitting, and improve generalization. Historically, this concept was borrowed from the SVM maximum margin principle and extended to…
The Expectation-Maximization (EM) algorithm has been predominantly used to approximate the maximum likelihood estimation of the location-scale Gaussian mixtures. However, when the models are over-specified, namely, the chosen number of…
Concerning huge-scale aggregative convex programming of a linear objective subject to the affine constraints of equality and inequality and the quadratic constraints of inequality, convex and aggregatively computable, an algorithm is…
In this paper we investigate the convergence of a recently popular class of first-order primal-dual algorithms for saddle point problems under the presence of errors occurring in the proximal maps and gradients. We study several types of…
We introduce two novel primal-dual algorithms for addressing nonconvex, nonconcave, and nonsmooth saddle point problems characterized by the weak Minty Variational Inequality (MVI). The first algorithm, Nonconvex-Nonconcave Primal-Dual…
We consider (stochastic) convex-concave saddle point (SP) problems with high-dimensional decision variables, arising in various applications including machine learning problems. To contend with the challenges in computing full gradients, we…
Minimax optimization recently is widely applied in many machine learning tasks such as generative adversarial networks, robust learning and reinforcement learning. In the paper, we study a class of nonconvex-nonconcave minimax optimization…
Multi-objective Markov decision processes are a special kind of multi-objective optimization problem that involves sequential decision making while satisfying the Markov property of stochastic processes. Multi-objective reinforcement…
We present benchmarking results for the non-variational Quantum Walk Optimisation Algorithm (non-variational QWOA) applied to the weighted maxcut problem, using classical simulations for problem sizes up to $n = 31$. The amplified quantum…
This work introduces a moving anchor acceleration technique to extragradient algorithms for smooth structured minimax problems. The moving anchor is introduced as a generalization of the original algorithmic anchoring framework, i.e. the…
We study a class of nonconvex nonsmooth optimization problems in which the objective is a sum of two functions: One function is the average of a large number of differentiable functions, while the other function is proper, lower…