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Support vector machine is an important and fundamental technique in machine learning. Soft-margin SVM models have stronger generalization performance compared with the hard-margin SVM. Most existing works use the hinge-loss function which…
In this work, we consider a constrained convex problem with linear inequalities and provide an inexact penalty re-formulation of the problem. The novelty is in the choice of the penalty functions, which are smooth and can induce a non-zero…
Quasi-convex optimization acts a pivotal part in many fields including economics and finance; the subgradient method is an effective iterative algorithm for solving large-scale quasi-convex optimization problems. In this paper, we…
ReParameterization (RP) Policy Gradient Methods (PGMs) have been widely adopted for continuous control tasks in robotics and computer graphics. However, recent studies have revealed that, when applied to long-term reinforcement learning…
In this paper, we analyse the recovery properties of nonconvex regularized $M$-estimators, under the assumption that the true parameter is of soft sparsity. In the statistical aspect, we establish the recovery bound for any stationary point…
Projected Gradient Descent denotes a class of iterative methods for solving optimization programs. Its applicability to convex optimization programs has gained significant popularity for its intuitive implementation that involves only…
Support vector machines (SVMs) with sparsity-inducing nonconvex penalties have received considerable attentions for the characteristics of automatic classification and variable selection. However, it is quite challenging to solve the…
The incremental aggregated gradient algorithm is popular in network optimization and machine learning research. However, the current convergence results require the objective function to be strongly convex. And the existing convergence…
In this paper, a generalized optimization problem on the local sphere is established by the cone order relation on the tangent space, and solved by an improved conditional gradient method (for short, ICGM). The auxiliary subproblems are…
We develop a new proximal-gradient method for minimizing the sum of a differentiable, possibly nonconvex, function plus a convex, possibly non differentiable, function. The key features of the proposed method are the definition of a…
Optimization problems with composite functions consist of an objective function which is the sum of a smooth and a (convex) nonsmooth term. This particular structure is exploited by the class of proximal gradient methods and some of their…
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…
This paper studies bandit convex optimization with constraints, where the learner aims to generate a sequence of decisions under partial information of loss functions such that the cumulative loss is reduced as well as the cumulative…
In this paper, we propose a double iteratively reweighted algorithm to solve nonconvex and nonsmooth optimization problems, where both the objectives and constraint functions are formulated by concave compositions to promote group-sparse…
For the general problem of minimizing a convex function over a compact convex domain, we will investigate a simple iterative approximation algorithm based on the method by Frank & Wolfe 1956, that does not need projection steps in order to…
Nonconvex and nonsmooth optimization problems are frequently encountered in much of statistics, business, science and engineering, but they are not yet widely recognized as a technology in the sense of scalability. A reason for this…
We suggest simple modifications of the conditional gradient method for smooth optimization problems, which maintain the basic convergence properties, but reduce the implementation cost of each iteration essentially. Namely, we propose the…
In [1], the distributed linear-quadratic problem with fixed communication topology (DFT-LQ) and the sparse feedback LQ problem (SF-LQ) are formulated into a nonsmooth and nonconvex optimization problem with affine constraints. Moreover, a…
We consider the problem of minimizing the sum of an average function of a large number of smooth convex components and a general, possibly non-differentiable, convex function. Although many methods have been proposed to solve this problem…
We propose a novel generalization of the conditional gradient (CG / Frank-Wolfe) algorithm for minimizing a smooth function $f$ under an intersection of compact convex sets, using a first-order oracle for $\nabla f$ and linear minimization…