Related papers: Local Search Algorithms for Rank-Constrained Conve…

Optimization over low rank matrices has broad applications in machine learning. For large scale problems, an attractive heuristic is to factorize the low rank matrix to a product of two much smaller matrices. In this paper, we study the…

Rank-constrained optimization problems have received an increasing intensity of interest recently, because many optimization problems in communications and signal processing applications can be cast into a rank-constrained optimization…

This paper is concerned with numerically finding a global solution of constrained optimal control problems with many local minima. The focus is on the optimal decentralized control (ODC) problem, whose feasible set is recently shown to have…

This paper is concerned with the rank constrained optimization problem whose feasible set is the intersection of the rank constraint set $\mathcal{R}=\!\big\{X\in\mathbb{X}\ |\ {\rm rank}(X)\le \kappa\big\}$ and a closed convex set…

Given a known matrix that is the sum of a low rank matrix and a masked sparse matrix, we wish to recover both the low rank component and the sparse component. The sparse matrix is masked in the sense that a linear transformation has been…

Numerous applications in data mining and machine learning require recovering a matrix of minimal rank. Robust principal component analysis (RPCA) is a general framework for handling this kind of problems. Nuclear norm based convex surrogate…

A Low-rank Spectral Optimization Problem (LSOP) minimizes a linear objective subject to multiple two-sided linear matrix inequalities intersected with a low-rank and spectral constrained domain set. Although solving LSOP is, in general,…

We propose a new method for robust PCA -- the task of recovering a low-rank matrix from sparse corruptions that are of unknown value and support. Our method involves alternating between projecting appropriate residuals onto the set of…

The goal of Sparse Convex Optimization is to optimize a convex function $f$ under a sparsity constraint $s\leq s^*\gamma$, where $s^*$ is the target number of non-zero entries in a feasible solution (sparsity) and $\gamma\geq 1$ is an…

This paper considers stochastic first-order algorithms for convex-concave minimax problems of the form $\min_{\bf x}\max_{\bf y}f(\bf x, \bf y)$, where $f$ can be presented by the average of $n$ individual components which are $L$-average…

Minimax optimization problems arises from both modern machine learning including generative adversarial networks, adversarial training and multi-agent reinforcement learning, as well as from tradition research areas such as saddle point…

For a given matrix subspace, how can we find a basis that consists of low-rank matrices? This is a generalization of the sparse vector problem. It turns out that when the subspace is spanned by rank-1 matrices, the matrices can be obtained…

This paper considers the problem of recovering either a low rank matrix or a sparse vector from observations of linear combinations of the vector or matrix elements. Recent methods replace the non-convex regularization with $\ell_1$ or…

Local search is a powerful heuristic in optimization and computer science, the complexity of which was studied in the white box and black box models. In the black box model, we are given a graph $G = (V,E)$ and oracle access to a function…

Randomized Fast Subspace Descent (RFASD) Methods are developed and analyzed for smooth and non-constraint convex optimization problems. The efficiency of the method relies on a space decomposition which is stable in $A$-norm, and meanwhile,…

Composite convex optimization problems which include both a nonsmooth term and a low-rank promoting term have important applications in machine learning and signal processing, such as when one wishes to recover an unknown matrix that is…

We show that there are no spurious local minima in the non-convex factorized parametrization of low-rank matrix recovery from incoherent linear measurements. With noisy measurements we show all local minima are very close to a global…

We develop algorithms for private stochastic convex optimization that adapt to the hardness of the specific function we wish to optimize. While previous work provide worst-case bounds for arbitrary convex functions, it is often the case…

This work considers two popular minimization problems: (i) the minimization of a general convex function $f(\mathbf{X})$ with the domain being positive semi-definite matrices; (ii) the minimization of a general convex function…

We consider the problem of Robust PCA in the fully and partially observed settings. Without corruptions, this is the well-known matrix completion problem. From a statistical standpoint this problem has been recently well-studied, and…