Related papers: The difference of convex algorithm on Hadamard man…
Gradient descent-ascent (GDA) is a widely used algorithm for minimax optimization. However, GDA has been proved to converge to stationary points for nonconvex minimax optimization, which are suboptimal compared with local minimax points. In…
In this paper, we consider the sparse eigenvalue problem wherein the goal is to obtain a sparse solution to the generalized eigenvalue problem. We achieve this by constraining the cardinality of the solution to the generalized eigenvalue…
The conjugate gradient method is a crucial first-order optimization method that generally converges faster than the steepest descent method, and its computational cost is much lower than that of second-order methods. However, while various…
We consider the consensual distributed optimization problem in the Riemannian context. Specifically, the minimization of a sum of functions form is studied where each individual function in the sum is located at the node of a network. An…
In this paper we proved that the sequence generated by the proximal point method, associated to a unconstrained optimization problem in the Riemannian context, has finite termination when the objective function has a weak sharp minima on…
Robust Principal Component Analysis (PCA) has received massive attention in recent years. It aims to recover a low-rank matrix and a sparse matrix from their sum. This paper proposes a novel nonconvex Robust PCA algorithm, coined Riemannian…
In this paper we present an inexact proximal point method for variational inequality problem on Hadamard manifolds and study its convergence properties. The proposed algorithm is inexact in two sense. First, each proximal subproblem is…
Sparse optimization refers to an optimization problem involving the zero-norm in objective or constraints. In this paper, nonconvex approximation approaches for sparse optimization have been studied with a unifying point of view in DC…
Clustering is a hard discrete optimization problem. Nonconvex approaches such as low-rank semidefinite programming (SDP) have recently demonstrated promising statistical and local algorithmic guarantees for cluster recovery. Due to the…
Linear discriminant analysis (LDA) is a widely used algorithm in machine learning to extract a low-dimensional representation of high-dimensional data, it features to find the orthogonal discriminant projection subspace by using the Fisher…
The task of approximating an arbitrary convex function arises in several learning problems such as convex regression, learning with a difference of convex (DC) functions, and learning Bregman or $f$-divergences. In this paper, we develop…
Stochastic optimization finds a wide range of applications in operations research and management science. However, existing stochastic optimization techniques usually require the information of random samples (e.g., demands in the…
We propose a globally-accelerated, first-order method for the optimization of smooth and (strongly or not) geodesically-convex functions in a wide class of Hadamard manifolds. We achieve the same convergence rates as Nesterov's accelerated…
We study a sampling problem whose target distribution is $\pi \propto \exp(-f-r)$ where the data fidelity term $f$ is Lipschitz smooth while the regularizer term $r=r_1-r_2$ is a non-smooth difference-of-convex (DC) function, i.e.,…
We present an efficient stochastic algorithm (RSG+) for canonical correlation analysis (CCA) using a reparametrization of the projection matrices. We show how this reparametrization (into structured matrices), simple in hindsight, directly…
The problem of determining the configuration of points from partial distance information, known as the Euclidean Distance Geometry (EDG) problem, is fundamental to many tasks in the applied sciences. In this paper, we propose two algorithms…
We present the algorithmic details of the dynamical cluster approximation (DCA) algorithm. The DCA is a fully-causal approach which systematically restores non-local correlations to the dynamical mean field approximation (DMFA). The DCA is…
We introduce a novel algorithm for solving learning problems where both the loss function and the regularizer are non-convex but belong to the class of difference of convex (DC) functions. Our contribution is a new general purpose proximal…
We apply duality theory to discretized convex minimization problems to obtain computable guaranteed upper bounds for the distance of given discrete functions and the exact discrete minimizer. Furthermore, we show that the discrete duality…
We propose an extremely versatile approach to address a large family of matrix nearness problems, possibly with additional linear constraints. Our method is based on splitting a matrix nearness problem into two nested optimization problems,…