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In this work, we develop new optimization algorithms that use approximate second-order information combined with the gradient regularization technique to achieve fast global convergence rates for both convex and non-convex objectives. The…
Stochastic gradient descent and other first-order variants, such as Adam and AdaGrad, are commonly used in the field of deep learning due to their computational efficiency and low-storage memory requirements. However, these methods do not…
A new approach to solving a class of rankconstrained semi-definite programming (SDP) problems, which appear in many signal processing applications such as transmit beamspace design in multiple-input multiple-output (MIMO) radar, downlink…
We develop two adaptive discretization algorithms for convex semi-infinite optimization, which terminate after finitely many iterations at approximate solutions of arbitrary precision. In particular, they terminate at a feasible point of…
Neural stochastic differential equation model with a Brownian motion term can capture epistemic uncertainty of deep neural network from the perspective of a dynamical system. The goal of this paper is to improve the convergence rate of the…
We consider a ranking and selection (R&S) problem with the goal to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully…
In this correspondence, we introduce a minimax regret criteria to the least squares problems with bounded data uncertainties and solve it using semi-definite programming. We investigate a robust minimax least squares approach that minimizes…
We consider the problem of minimizing a continuous function that may be nonsmooth and nonconvex, subject to bound constraints. We propose an algorithm that uses the L-BFGS quasi-Newton approximation of the problem's curvature together with…
We develop a decomposition method based on the augmented Lagrangian framework to solve a broad family of semidefinite programming problems, possibly with nonlinear objective functions, nonsmooth regularization, and general linear…
We introduce the \emph{submodular objectives chasing problem}, which generalizes many natural and previously-studied problems: a sequence of constrained submodular maximization problems is revealed over time, with both the objective and…
The MAX BISECTION problem seeks a maximum-size cut that evenly divides the vertices of a given undirected graph. An open problem raised by Austrin, Benabbas, and Georgiou is whether MAX BISECTION can be approximated as well as MAX CUT,…
Several problems in modeling and control of stochastically-driven dynamical systems can be cast as regularized semi-definite programs. We examine two such representative problems and show that they can be formulated in a similar manner. The…
Roundoff errors cannot be avoided when implementing numerical programs with finite precision. The ability to reason about rounding is especially important if one wants to explore a range of potential representations, for instance for FPGAs…
We describe a novel algorithm for rounding packing integer programs based on multidimensional Brownian motion in $\mathbb{R}^n$. Starting from an optimal fractional feasible solution $\bar{x}$, the procedure converges in polynomial time to…
Finding tight bounds on the optimal solution is a critical element of practical solution methods for discrete optimization problems. In the last decade, decision diagrams (DDs) have brought a new perspective on obtaining upper and lower…
Grothendieck inequalities are fundamental inequalities which are frequently used in many areas of mathematics and computer science. They can be interpreted as upper bounds for the integrality gap between two optimization problems: a…
Semidefinite programming is an indispensable tool in computer vision, but general-purpose solvers for semidefinite programs are often too slow and memory intensive for large-scale problems. We propose a general framework to approximately…
Single-level reformulations of (non-convex) distributionally robust optimization (DRO) problems are often intractable, as they contain semiinfinite dual constraints. Based on such a semiinfinite reformulation, we present a safe…
It is well-known that by adding integrality constraints to the semidefinite programming (SDP) relaxation of the max-cut problem, the resulting integer semidefinite program is an exact formulation of the problem. In this paper we show…
Stochastic optimization is a widely used approach for optimization under uncertainty, where uncertain input parameters are modeled by random variables. Exact or approximation algorithms have been obtained for several fundamental problems in…