Related papers: Several classes of stationary points for rank regu…
We introduce a new criterion, the Rank Selection Criterion (RSC), for selecting the optimal reduced rank estimator of the coefficient matrix in multivariate response regression models. The corresponding RSC estimator minimizes the Frobenius…
Many inverse and parameter estimation problems can be written as PDE-constrained optimization problems. The goal, then, is to infer the parameters, typically coefficients of the PDE, from partial measurements of the solutions of the PDE for…
We propose a simple, scalable, and fast gradient descent algorithm to optimize a nonconvex objective for the rank minimization problem and a closely related family of semidefinite programs. With $O(r^3 \kappa^2 n \log n)$ random…
Numerous machine learning and industrial problems can be modeled as the minimization of a sum of $N$ so-called clipped convex functions (SCC), i.e. each term of the sum stems as the pointwise minimum between a constant and a convex…
Asymptotic stationarity and regularity conditions turned out to be quite useful to study the qualitative properties of numerical solution methods for standard nonlinear and complementarity-constrained programs. In this paper, we first…
Minimizing the rank of a matrix subject to constraints is a challenging problem that arises in many applications in control theory, machine learning, and discrete geometry. This class of optimization problems, known as rank minimization, is…
We provide theoretical analysis of the statistical and computational properties of penalized $M$-estimators that can be formulated as the solution to a possibly nonconvex optimization problem. Many important estimators fall in this…
We investigate the acceleration of stationary iterations for multi-term Sylvester equation by means of reduced rank extrapolation (RRE). Theoretical convergence results and implementations are provided for both small and large-scale…
In this workshop, we present a compact but rigorous introduction to the basic language of nonlinear programming, variational inequalities, and complementarity systems. The goal is twofold. First, we explain the mathematical logic of…
We study the problem of finding structured low-rank matrices using nuclear norm regularization where the structure is encoded by a linear map. In contrast to most known approaches for linearly structured rank minimization, we do not (a) use…
The mathematical program with equilibrium constraints (MPEC) is a powerful yet challenging class of constrained optimization problems, where the constraints are characterized by a parametrized variational inequality (VI) problem. While…
This paper treats the global stabilization problem of continuous-time switched affine systems that have rank-deficient convex combinations of their dynamic matrices. For these systems, the already known set of attainable equilibrium points…
In this paper, we propose a low-rank coordinate descent approach to structured semidefinite programming with diagonal constraints. The approach, which we call the Mixing method, is extremely simple to implement, has no free parameters, and…
The saddle-point problems (SPPs) with nonlinear coupling operators frequently arise in various control systems, such as dynamic programming optimization, H-infinity control, and Lyapunov stability analysis. However, traditional primal-dual…
MultiResolution Low-Rank decomposition is formulated for regularization of dynamic image sequences. The decomposition applies a local low-rank decomposition on a sequence of discrete wavelet transforms. Its effective formulation as a…
We consider nonlinear optimization problems with cardinality constraints. Based on a continuous reformulation we introduce second order necessary and sufficient optimality conditions. Under such a second order condition, we can guarantee…
Estimating the dependences between random variables, and ranking them accordingly, is a prevalent problem in machine learning. Pursuing frequentist and information-theoretic approaches, we first show that the p-value and the mutual…
In recent years, bilevel approaches have become very popular to efficiently estimate high-dimensional hyperparameters of machine learning models. However, to date, binary parameters are handled by continuous relaxation and rounding…
Mathematical programs with vanishing constraints (MPVCs) are a class of nonlinear optimization problems with applications to various engineering problems such as truss topology design and robot motion planning. MPVCs are difficult problems…
Model Predictive Control (MPC) is often tuned by trial and error. When a baseline linear controller exists that is already well tuned in the absence of constraints and MPC is introduced to enforce them, one would like to avoid altering the…