Related papers: On Inexact Accelerated Proximal Gradient Methods w…
Minimax problems of the form $\min_x \max_y \Psi(x,y)$ have attracted increased interest largely due to advances in machine learning, in particular generative adversarial networks. These are typically trained using variants of stochastic…
Gradient boosting is a prediction method that iteratively combines weak learners to produce a complex and accurate model. From an optimization point of view, the learning procedure of gradient boosting mimics a gradient descent on a…
In this work, we analyze two of the most fundamental algorithms in geodesically convex optimization: Riemannian gradient descent and (possibly inexact) Riemannian proximal point. We quantify their rates of convergence and produce different…
In the context of finite sums minimization, variance reduction techniques are widely used to improve the performance of state-of-the-art stochastic gradient methods. Their practical impact is clear, as well as their theoretical properties.…
We develop an implementable stochastic proximal point (SPP) method for a class of weakly convex, composite optimization problems. The proposed stochastic proximal point algorithm incorporates a variance reduction mechanism and the resulting…
We propose a novel quasi-Newton method for solving the sparse inverse covariance estimation problem also known as the graphical least absolute shrinkage and selection operator (GLASSO). This problem is often solved using a second-order…
The Fast Proximal Gradient Method (FPGM) and the Monotone FPGM (MFPGM) for minimization of nonsmooth convex functions are introduced and applied to tomographic image reconstruction. Convergence properties of the sequence of objective…
In this paper, we propose a novel sparse signal recovery algorithm called Trainable ISTA (TISTA). The proposed algorithm consists of two estimation units such as a linear estimation unit and a minimum mean squared error (MMSE)…
We propose new proximal bundle algorithms for minimizing a nonsmooth convex function. These algorithms are derived from the application of Nesterov fast gradient methods for smooth convex minimization to the so-called Moreau-Yosida…
Alternating gradient-descent-ascent (AltGDA) is an optimization algorithm that has been widely used for model training in various machine learning applications, which aims to solve a nonconvex minimax optimization problem. However, the…
This paper proposes a partially inexact alternating direction method of multipliers for computing approximate solution of a linearly constrained convex optimization problem. This method allows its first subproblem to be solved inexactly…
In this paper we consider convex optimization problems with stochastic composite objective function subject to (possibly) infinite intersection of constraints. The objective function is expressed in terms of expectation operator over a sum…
Recently, there has been a great interest in analysing dynamical flows, where the stationary limit is the minimiser of a convex energy. Particular flows of great interest have been continuous limits of Nesterov's algorithm and the Fast…
We consider structured minimization problems subject to smooth inequality constraints and present a flexible algorithm that combines interior point (IP) and proximal gradient schemes. While traditional IP methods cannot cope with nonsmooth…
Stochastic Approximation has been a prominent set of tools for solving problems with noise and uncertainty. Increasingly, it becomes important to solve optimization problems wherein there is noise in both a set of constraints that a…
A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…
An efficient proximal-gradient-based method, called proximal extrapolated gradient method, is designed for solving monotone variational inequality in Hilbert space. The proposed method extends the acceptable range of parameters to obtain…
Sparse principal component analysis (PCA), an important variant of PCA, attempts to find sparse loading vectors when conducting dimension reduction. This paper considers the nonsmooth Riemannian optimization problem associated with the…
In this paper we present a variant of the proximal forward-backward splitting iteration for solving nonsmooth optimization problems in Hilbert spaces, when the objective function is the sum of two nondifferentiable convex functions. The…
This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…