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A framework is introduced for sequentially solving convex stochastic minimization problems, where the objective functions change slowly, in the sense that the distance between successive minimizers is bounded. The minimization problems are…
We consider the global minimization of a particular type of minimum structured optimization problems wherein the variables must belong to some basic set, the feasible domain is described by the intersection of a large number of functional…
This article studies the Set-Membership Smoothing (SMSing) problem for non-stochastic Hidden Markov Models. By adopting the mathematical concept of uncertain variables, an optimal SMSing framework is established for the first time. This…
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…
This paper shows how a class of non-convex optimization problems constrained by discretized nonlinear partial differential equations may be solved to global optimality using an interior point continuation method. The solution procedure…
The graduated optimization approach, also known as the continuation method, is a popular heuristic to solving non-convex problems that has received renewed interest over the last decade. Despite its popularity, very little is known in terms…
In this work, we consider convex optimization problems with smooth objective function and nonsmooth functional constraints. We propose a new stochastic gradient algorithm, called Stochastic Halfspace Approximation Method (SHAM), to solve…
In this paper, we consider set optimization problems where the solution concept is given by the set approach. Specifically, we deal with the lower less and the upper less set relations. First, we derive the convexity and Lipschitzianity of…
Inspired by regularization techniques in statistics and machine learning, we study complementary composite minimization in the stochastic setting. This problem corresponds to the minimization of the sum of a (weakly) smooth function endowed…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
Existing Meta-Black-Box Optimization (MetaBBO) methods focus on how to search when controlling optimizers, but largely overlook where to search. We propose MetaSG-SAEA, a bi-level MetaBBO framework for expensive constrained multi-objective…
Many challenges in science and engineering, such as drug discovery and communication network design, involve optimizing complex and expensive black-box functions across vast search spaces. Thus, it is essential to leverage existing data to…
We study a class of stochastic nonconvex optimization in the form of $\min_{x\in\mathcal{X}} F(x):=\mathbb{E}_\xi [f(\phi(x,\xi))]$, i.e., $F$ is a composition of a convex function $f$ and a random function $\phi$. Leveraging an (implicit)…
Numerical optimization is an important tool in the field of computational physics in general and in nano-optics in specific. It has attracted attention with the increase in complexity of structures that can be realized with nowadays…
This paper proposes novel algorithm for non-convex multimodal constrained optimisation problems. It is based on sequential solving restrictions of problem to sections of feasible set by random subspaces (in general, manifolds) of low…
We consider a distributed convex optimization problem in a network which is time-varying and not always strongly connected. The local cost function of each node is affected by some stochastic process. All nodes of the network collaborate to…
We present two first-order, sequential optimization algorithms to solve constrained optimization problems. We consider a black-box setting with a priori unknown, non-convex objective and constraint functions that have Lipschitz continuous…
In this paper, we are interested in finding the global minimizer of a nonsmooth nonconvex unconstrained optimization problem. By combining the discrete consensus-based optimization (CBO) algorithm and the gradient descent method, we develop…
Bayesian Optimization (BO) has become a core method for solving expensive black-box optimization problems. While much research focussed on the choice of the acquisition function, we focus on online length-scale adaption and the choice of…
This paper presents a convex approach to the optimization of a cooperative rendezvous, that is, the problem of two distant spacecraft that simultaneously operate to get closer. Convex programming guarantees convergence towards the optimal…