Related papers: The Generalized Trust Region Subproblem: solution …
Optimization problems with rank constraints arise in many applications, including matrix regression, structured PCA, matrix completion and matrix decomposition problems. An attractive heuristic for solving such problems is to factorize the…
This work is on constrained large-scale non-convex optimization where the constraint set implies a manifold structure. Solving such problems is important in a multitude of fundamental machine learning tasks. Recent advances on Riemannian…
We consider a compound testing problem within the Gaussian sequence model in which the null and alternative are specified by a pair of closed, convex cones. Such cone testing problem arise in various applications, including detection of…
In this paper we study the problem of recovering a low-rank matrix from a number of random linear measurements that are corrupted by outliers taking arbitrary values. We consider a nonsmooth nonconvex formulation of the problem, in which we…
This paper considers the analysis of continuous time gradient-based optimization algorithms through the lens of nonlinear contraction theory. It demonstrates that in the case of a time-invariant objective, most elementary results on…
Physics-informed machine learning and inverse modeling require the solution of ill-conditioned non-convex optimization problems. First-order methods, such as SGD and ADAM, and quasi-Newton methods, such as BFGS and L-BFGS, have been applied…
Training deep neural networks for solving machine learning problems is one great challenge in the field, mainly due to its associated optimisation problem being highly non-convex. Recent developments have suggested that many training…
The conjugate gradient (CG) method is an efficient iterative method for solving large-scale strongly convex quadratic programming (QP). In this paper we propose some generalized CG (GCG) methods for solving the $\ell_1$-regularized…
Trust region and cubic regularization methods have demonstrated good performance in small scale non-convex optimization, showing the ability to escape from saddle points. Each iteration of these methods involves computation of gradient,…
The aim of this paper is to develop a general framework for training neural networks (NNs) in a distributed environment, where training data is partitioned over a set of agents that communicate with each other through a sparse, possibly…
Consider the generalized linear least squares (GLS) problem $\min\|Lx\|_2 \ \mathrm{s.t.} \ \|M(Ax-b)\|_2=\min$. The weighted pseudoinverse $A_{ML}^{\dag}$ is the matrix that maps $b$ to the minimum 2-norm solution of this GLS problem. By…
In this paper, we propose a Minimax Trust Region (MINIMAX-TR) algorithm and a Minimax Trust Region Algorithm with Contractions and Expansions(MINIMAX-TRACE) algorithm for solving nonconvex-strongly concave minimax problems. Both algorithms…
The trust-region problem, which minimizes a nonconvex quadratic function over a ball, is a key subproblem in trust-region methods for solving nonlinear optimization problems. It enjoys many attractive properties such as an exact…
We consider a general class of regression models with normally distributed covariates, and the associated nonconvex problem of fitting these models from data. We develop a general recipe for analyzing the convergence of iterative algorithms…
In this paper, we consider the problem of minimizing the average of a large number of nonsmooth and convex functions. Such problems often arise in typical machine learning problems as empirical risk minimization, but are computationally…
This paper presents a novel algorithm integrating global and robust optimization methods to solve continuous non-convex quadratic problems under convex uncertainty sets. The proposed Robust spatial branch-and-bound (RsBB) algorithm combines…
Standard gradient-based iteration algorithms for optimization, such as gradient descent and its various proximal-based extensions to nonsmooth problems, are known to converge slowly for ill-conditioned problems, sometimes requiring many…
In recent years, applications such as real-time simulations, autonomous systems, and video games increasingly demand the processing of complex geometric models under stringent time constraints. Traditional geometric algorithms, including…
We study an extended trust region subproblem minimizing a nonconvex function over the hollow ball $r \le \|x\| \le R$ intersected with a full-dimensional second order cone (SOC) constraint of the form $\|x - c\| \le b^T x - a$. In…
Majorization-minimization algorithms consist of successively minimizing a sequence of upper bounds of the objective function so that along the iterations the objective function decreases. Such a simple principle allows to solve a large…