Related papers: Convex optimization
These are the notes of rather informal lectures given by the first co-author in UPMC, Paris, in January 2017. Practical goal is to explain how to compute or estimate the Morse index of the second variation. Symplectic geometry allows to…
Robust Markov decision processes (MDPs) are used for applications of dynamic optimization in uncertain environments and have been studied extensively. Many of the main properties and algorithms of MDPs, such as value iteration and policy…
Conventional inverse optimization inputs a solution and finds the parameters of an optimization model that render a given solution optimal. The literature mostly focuses on inferring the objective function in linear problems when accepted…
In this paper, we introduce various mechanisms to obtain accelerated first-order stochastic optimization algorithms when the objective function is convex or strongly convex. Specifically, we extend the Catalyst approach originally designed…
Manifold optimization is ubiquitous in computational and applied mathematics, statistics, engineering, machine learning, physics, chemistry and etc. One of the main challenges usually is the non-convexity of the manifold constraints. By…
In this paper, we propose a new Fully Composite Formulation of convex optimization problems. It includes, as a particular case, the problems with functional constraints, max-type minimization problems, and problems of Composite…
Primal-dual methods in online optimization give several of the state-of-the art results in both of the most common models: adversarial and stochastic/random order. Here we try to provide a more unified analysis of primal-dual algorithms to…
This text is a support for different courses of the master of Mechanics of the University Paris-Saclay. The content of this text is an introduction, for graduate students, to tensor algebra and analysis. Far from being exhaustive, the text…
This paper studies hidden convexity properties associated with constrained optimization problems over the set of rotation matrices $\text{SO}(n)$. Such problems are nonconvex due to the constraint $X \in \text{SO}(n)$. Nonetheless, we show…
This paper proposes a novel federated algorithm that leverages momentum-based variance reduction with adaptive learning to address non-convex settings across heterogeneous data. We intend to minimize communication and computation overhead,…
In this work, we consider constrained stochastic optimization problems under hidden convexity, i.e., those that admit a convex reformulation via non-linear (but invertible) map $c(\cdot)$. A number of non-convex problems ranging from…
We propose a general scheme for solving convex and non-convex optimization problems on manifolds. The central idea is that, by adding a multiple of the squared retraction distance to the objective function in question, we "convexify" the…
Optimization is a ubiquitous modeling tool and is often deployed in settings which repeatedly solve similar instances of the same problem. Amortized optimization methods use learning to predict the solutions to problems in these settings,…
This paper builds upon our prior formalisation of R^n in ACL2(r) by presenting a set of theorems for reasoning about convex functions. This is a demonstration of the higher-dimensional analytical reasoning possible in our metric space…
We present a novel method for convex unconstrained optimization that, without any modifications, ensures: (i) accelerated convergence rate for smooth objectives, (ii) standard convergence rate in the general (non-smooth) setting, and (iii)…
Convex optimizers have known many applications as differentiable layers within deep neural architectures. One application of these convex layers is to project points into a convex set. However, both forward and backward passes of these…
Variational analysis provides the theoretical foundations and practical tools for constructing optimization algorithms without being restricted to smooth or convex problems. We survey the central concepts in the context of a concrete but…
In this paper, we investigate accelerated first-order methods for smooth convex optimization problems under inexact information on the gradient of the objective. The noise in the gradient is considered to be additive with two possibilities:…
In this paper, we study convex analysis and its theoretical applications. We first apply important tools of convex analysis to Optimization and to Analysis. We then show various deep applications of convex analysis and especially infimal…
The goal of this work is to accelerate the identification of an unknown ARX system from trajectory data through online input design. Specifically, we present an active learning algorithm that sequentially selects the input to excite the…