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This paper studies a classic maximum entropy sampling problem (MESP), which aims to select the most informative principal submatrix of a prespecified size from a covariance matrix. MESP has been widely applied to many areas, including…
In this paper, we consider an unconstrained optimization model where the objective is a sum of a large number of possibly nonconvex functions, though overall the objective is assumed to be smooth and convex. Our bid to solving such model…
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed in different ways: either in terms of the value of the…
When designing clustering algorithms, the choice of initial centers is crucial for the quality of the learned clusters. In this paper, we develop a new initialization scheme, called HST initialization, for the $k$-median problem in the…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
We propose a novel trust region method for solving a class of nonsmooth, nonconvex composite-type optimization problems. The approach embeds inexact semismooth Newton steps for finding zeros of a normal map-based stationarity measure for…
We present a novel, practical, and provable approach for solving diagonally constrained semi-definite programming (SDP) problems at scale using accelerated non-convex programming. Our algorithm non-trivially combines acceleration motions…
In this paper, we consider a strongly convex finite-sum minimization problem over a decentralized network and propose a communication-efficient decentralized Newton's method for solving it. We first apply dynamic average consensus (DAC) so…
We propose a new random method to minimize deterministic continuous functions over subsets $\mathcal{S}$ of high-dimensional space $\mathbb{R}^K$ without assuming convexity. Our procedure alternates between a Global Search (GS) regime to…
Repeated computations on the same molecular system, but with different geometries, are often performed in quantum chemistry, for instance, in ab-initio molecular dynamics simulations or geometry optimizations. While many efficient…
Point sets matching problems can be handled by optimal transport. The mechanism behind it is that optimal transport recovers the point-to-point correspondence associated with the least curl deformation. Optimal transport is a special form…
In this paper, we propose a sparse least squares (SLS) optimization model for solving multilinear equations, in which the sparsity constraint on the solutions can effectively reduce storage and computation costs. By employing variational…
This paper considers the regularization continuation method and the trust-region updating strategy for the nonlinearly equality-constrained optimization problem. Namely, it uses the inverse of the regularization quasi-Newton matrix as the…
Majorization-minimization (MM) is a standard iterative optimization technique which consists in minimizing a sequence of convex surrogate functionals. MM approaches have been particularly successful to tackle inverse problems and…
Various studies that address the compressed sensing problem with Multiple Measurement Vectors (MMVs) have been recently carried. These studies assume the vectors of the different channels to be jointly sparse. In this paper, we relax this…
We consider the minimization of a continuous function over the intersection of a regular cone with an affine set via a new class of adaptive first- and second-order optimization methods, building on the Hessian-barrier techniques introduced…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
Real-world data such as digital images, MRI scans and electroencephalography signals are naturally represented as matrices with structural information. Most existing classifiers aim to capture these structures by regularizing the regression…
We propose a new stochastic proximal quasi-Newton method for minimizing the sum of two convex functions in the particular context that one of the functions is the average of a large number of smooth functions and the other one is nonsmooth.…
We present a principled approach for designing stochastic Newton methods for solving finite sum optimization problems. Our approach has two steps. First, we re-write the stationarity conditions as a system of nonlinear equations that…