Related papers: A Different Perspective On The Stochastic Convex F…
This paper presents a novel approach to solving large-scale minimax problems with nonsmooth regularizers. We propose a stochastic implicit proximal point algorithm with variance reduction techniques where stochastic oracles are selected in…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
Stochastic convex optimization, where the objective is the expectation of a random convex function, is an important and widely used method with numerous applications in machine learning, statistics, operations research and other areas. We…
This paper investigates probabilistic robustness of nonconvex-nonconcave minimax problems via the scenario approach. Specifically, under convex strategy sets for all players, inspired by recent advances in scenario optimization, we first…
In this paper, we compute finite sample bounds for data-driven approximations of the solution to stochastic reachability problems. Our approach uses a nonparametric technique known as kernel distribution embeddings, and provides…
Majorization-minimization algorithms consist of successively minimizing a sequence of upper bounds of the objective function. These upper bounds are tight at the current estimate, and each iteration monotonically drives the objective…
We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…
In this paper, we consider the problem of stochastic optimization, where the objective function is in terms of the expectation of a (possibly non-convex) cost function that is parametrized by a random variable. While the convergence speed…
We present a new algorithm for solving optimization problems with objective functions that are the sum of a smooth function and a (potentially) nonsmooth regularization function, and nonlinear equality constraints. The algorithm may be…
Belief updating in Bayes nets, a well known computationally hard problem, has recently been approximated by several deterministic algorithms, and by various randomized approximation algorithms. Deterministic algorithms usually provide…
We propose a new stochastic first-order algorithmic framework to solve stochastic composite nonconvex optimization problems that covers both finite-sum and expectation settings. Our algorithms rely on the SARAH estimator introduced in…
In this paper we present a new algorithmic realization of a projection-based scheme for general convex constrained optimization problem. The general idea is to transform the original optimization problem to a sequence of feasibility…
Gradient boosting is a state-of-the-art prediction technique that sequentially produces a model in the form of linear combinations of simple predictors---typically decision trees---by solving an infinite-dimensional convex optimization…
Given a strictly convex multiobjective optimization problem with objective functions $f_1,\dots,f_N$, let us denote by $x_0$ its solution, obtained as minimum point of the linear scalarized problem, where the objective function is the…
We propose finitely convergent methods for solving convex feasibility problems defined over a possibly infinite pool of constraints. Following other works in this area, we assume that the interior of the solution set is nonempty and that…
The sum of ratios problem has a variety of important applications in economics and management science, but it is difficult to globally solve this problem. In this paper, we consider the minimization problem of a sum of a number of…
In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and…
This paper considers optimization problems where the objective is the sum of a function given by an expectation and a closed convex composite function, and proposes stochastic composite proximal bundle (SCPB) methods for solving it.…
We consider several classes of highly important semidefinite optimization problems that involve both a convex objective function (smooth or nonsmooth) and additional linear or nonlinear smooth and convex constraints, which are ubiquitous in…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…