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We propose a variable metric forward-backward splitting algorithm and prove its convergence in real Hilbert spaces. We then use this framework to derive primal-dual splitting algorithms for solving various classes of monotone inclusions in…

Proximal splitting algorithms are well suited to solving large-scale nonsmooth optimization problems, in particular those arising in machine learning. We propose a new primal-dual algorithm, in which the dual update is randomized;…

We introduce a generalized forward-backward splitting method with penalty term for solving monotone inclusion problems involving the sum of a finite number of maximally monotone operators and the normal cone to the nonempty set of zeros of…

This paper investigates a category of constrained fractional optimization problems that emerge in various practical applications. The objective function for this category is characterized by the ratio of a numerator and denominator, both…

In this work, we propose a new algorithm for finding a zero in the sum of two monotone operators where one is assumed to be single-valued and Lipschitz continuous. This algorithm naturally arises from a non-standard discretization of a…

We consider (stochastic) convex-concave saddle point (SP) problems with high-dimensional decision variables, arising in various applications including machine learning problems. To contend with the challenges in computing full gradients, we…

This paper addresses the minimization of a finite sum of prox-convex functions under Lipschitz continuity of each component. We propose two variants of the splitting proximal point algorithms proposed in \cite{Bacak,Bertsekas}: one…

We consider the minimization of composite objective functions composed of the expectation of quadratic functions and an arbitrary convex function. We study the stochastic dual averaging algorithm with a constant step-size, showing that it…

In this paper we consider a class of monotone inclusion (MI) problems of finding a zero of the sum of two monotone operators, in which one operator is maximal monotone while the other is {\it locally Lipschitz} continuous. We propose…

In this paper, we consider the Forward--Backward proximal splitting algorithm to minimize the sum of two proper convex functions, one of which having a Lipschitz continuous gradient and the other being partly smooth relative to an active…

In stochastic convex optimization problems, most existing adaptive methods rely on prior knowledge about the diameter bound $D$ when the smoothness or the Lipschitz constant is unknown. This often significantly affects performance as only a…

It is well known that both gradient descent and stochastic coordinate descent achieve a global convergence rate of $O(1/k)$ in the objective value, when applied to a scheme for minimizing a Lipschitz-continuously differentiable,…

We study frugal splitting algorithms with minimal lifting for solving monotone inclusion problems involving sums of maximal monotone and cocoercive operators. Building on a foundational result by Ryu, we fully characterize all methods that…

In this work we study a constrained monotone inclusion involving the normal cone to a closed vector subspace and a priori information on primal solutions. We model this information by imposing that solutions belongs to the fixed point set…

We introduce an inertial quasi-Newton Forward-Backward Splitting Algorithm to solve a class of monotone inclusion problems. While the inertial step is computationally cheap, in general, the bottleneck is the evaluation of the resolvent…

Poisson likelihood models have been prevalently used in imaging, social networks, and time series analysis. We propose fast, simple, theoretically-grounded, and versatile, optimization algorithms for Poisson likelihood modeling. The Poisson…

The main purpose of this paper is to propose a variance-based Bregman extragradient algorithm with line search for solving stochastic variational inequalities, which is robust with respect an unknown Lipschitz constant. We prove the almost…

We study a stochastic and distributed algorithm for nonconvex problems whose objective consists of a sum of $N$ nonconvex $L_i/N$-smooth functions, plus a nonsmooth regularizer. The proposed NonconvEx primal-dual SpliTTing (NESTT) algorithm…

This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…

Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solving the Poisson inverse problem, computing the…