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In this paper, we propose a randomized accelerated method for the minimization of a strongly convex function under linear constraints. The method is of Kaczmarz-type, i.e. it only uses a single linear equation in each iteration. To obtain…
Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the…
In this paper, we propose a multilevel stochastic framework for the solution of nonconvex unconstrained optimization problems. The proposed approach uses random regularized first-order models that exploit an available hierarchical…
We propose a general formulation of nonconvex and nonsmooth sparse optimization problems with convex set constraint, which can take into account most existing types of nonconvex sparsity-inducing terms, bringing strong applicability to a…
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…
Accelerated first order methods, also called fast gradient methods, are popular optimization methods in the field of convex optimization. However, they are prone to suffer from oscillatory behaviour that slows their convergence when medium…
We propose a randomized algorithm with quadratic convergence rate for convex optimization problems with a self-concordant, composite, strongly convex objective function. Our method is based on performing an approximate Newton step using a…
We consider the problem of designing efficient regularization algorithms when regularization is encoded by a (strongly) convex functional. Unlike classical penalization methods based on a relaxation approach, we propose an iterative method…
In this paper, we consider convex feasibility problems where the underlying sets are loosely coupled, and we propose several algorithms to solve such problems in a distributed manner. These algorithms are obtained by applying proximal…
Stochastic composition optimization draws much attention recently and has been successful in many emerging applications of machine learning, statistical analysis, and reinforcement learning. In this paper, we focus on the composition…
The problem of placing or selecting sensors and control nodes plays a pivotal role in the operation of dynamic networks. This paper proposes optimal algorithms and heuristics to solve the simultaneous sensor and actuator selection problem…
In this paper, we propose a new algorithm to speed-up the convergence of accelerated proximal gradient (APG) methods. In order to minimize a convex function $f(\mathbf{x})$, our algorithm introduces a simple line search step after each…
Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…
Stochastic optimization algorithms update models with cheap per-iteration costs sequentially, which makes them amenable for large-scale data analysis. Such algorithms have been widely studied for structured sparse models where the sparsity…
This paper presents a convex sufficient condition for solving a system of nonlinear equations under parametric changes and proposes a sequential convex optimization method for solving robust optimization problems with nonlinear equality…
This paper proposes a novel first-order algorithm that solves composite nonsmooth and stochastic convex optimization problem with function constraints. Most of the works in the literature provide convergence rate guarantees on the…
This study proposes a cubic regularization of the Newton method for generating weakly efficient points of unconstrained vector optimization problems under no convexity assumption on the objective function. It is observed that at a given…
In this paper, we propose a successive pseudo-convex approximation algorithm to efficiently compute stationary points for a large class of possibly nonconvex optimization problems. The stationary points are obtained by solving a sequence of…
Many problems in power systems involve optimizing a certain objective function subject to power flow equations and engineering constraints. A long-standing challenge in solving them is the nonconvexity of their feasible sets. In this paper,…
In this paper, we solve a maximization problem where the objective function is quadratic and convex or concave and the constraints set is the reachable value set of a convergent discrete-time affine system. Moreover, we assume that the…