Related papers: Convexification-based globally convergent numerica…
We analyze the constant step size subgradient method on nonsmooth, nonconvex functions. We identify geometric assumptions on the objective function under which i) its domain admits a partition (stratification) into smooth manifolds (strata)…
We develop a rigorous framework for global non-convex optimization by reformulating the minimization problem as a discounted infinite-horizon optimal control problem. For non-convex, continuous, and possibly non-smooth objective functions…
We present a new class of gradient-type optimization methods that extends vanilla gradient descent, mirror descent, Riemannian gradient descent, and natural gradient descent. Our approach involves constructing a surrogate for the objective…
We propose a family of optimization methods that achieve linear convergence using first-order gradient information and constant step sizes on a class of convex functions much larger than the smooth and strongly convex ones. This larger…
In this paper, we study the gradient descent-ascent method for convex-concave saddle-point problems. We derive a new non-asymptotic global convergence rate in terms of distance to the solution set by using the semidefinite programming…
We consider the problem of minimizing a strongly convex function that depends on an uncertain parameter $\theta$. The uncertainty in the objective function means that the optimum, $x^*(\theta)$, is also a function of $\theta$. We propose an…
Novel coordinate descent (CD) methods are proposed for minimizing nonconvex functions consisting of three terms: (i) a continuously differentiable term, (ii) a simple convex term, and (iii) a concave and continuous term. First, by extending…
This paper studies the convergence of the mirror descent algorithm for finite horizon stochastic control problems with measure-valued control processes. The control objective involves a convex regularisation function, denoted as $h$, with…
We provide new complexity information for the convergence of the Hybrid Steepest Descent Method for solving the Variational Inequality Problem for a strict contraction on Hilbert space over a closed convex set C given either as the fixed…
In this paper, we present a dimension reduction method to reduce the dimension of parameter space and state space and efficiently solve inverse problems. To this end, proper orthogonal decomposition (POD) and radial basis function (RBF) are…
Stochastic gradient descent is one of the most successful approaches for solving large-scale problems, especially in machine learning and statistics. At each iteration, it employs an unbiased estimator of the full gradient computed from one…
A block decomposition method is proposed for minimizing a (possibly non-convex) continuously differentiable function subject to one linear equality constraint and simple bounds on the variables. The proposed method iteratively selects a…
This paper provides a theoretical and numerical comparison of classical first-order splitting methods for solving smooth convex optimization problems and cocoercive equations. From a theoretical point of view, we compare convergence rates…
Prediction-correction algorithms are a highly effective class of methods for solving pseudo-convex optimization problems. The descent direction of these algorithms can be viewed as an adjustment to the gradient direction based on the…
Inverse problems generally require a regularizer or prior for a good solution. A recent trend is to train a convolutional net to denoise images, and use this net as a prior when solving the inverse problem. Several proposals depend on a…
Optimization problems occurring in a wide variety of physical design problems, including but not limited to optical engineering, quantum control, structural engineering, involve minimization of a simple cost function of the state of the…
Submodular function minimization is a fundamental optimization problem that arises in several applications in machine learning and computer vision. The problem is known to be solvable in polynomial time, but general purpose algorithms have…
We present a strikingly simple proof that two rules are sufficient to automate gradient descent: 1) don't increase the stepsize too fast and 2) don't overstep the local curvature. No need for functional values, no line search, no…
A subgradient method is presented for solving general convex optimization problems, the main requirement being that a strictly-feasible point is known. A feasible sequence of iterates is generated, which converges to within user-specified…
The constrained gradient method (CGM) has recently been proposed to solve convex optimization and monotone variational inequality (VI) problems with general functional constraints. While existing literature has established convergence…