Related papers: On Convergence of Binary Trust-Region Steepest Des…
A stochastic second-order trust region method is proposed, which can be viewed as a second-order extension of the trust-region-ish (TRish) algorithm proposed by Curtis et al. (INFORMS J. Optim. 1(3) 200-220, 2019). In each iteration, a…
In this paper we investigate the convergence of the Policy Iteration Algorithm (PIA) for a class of general continuous-time entropy-regularized stochastic control problems. In particular, instead of employing sophisticated PDE estimates for…
Causal inference using observational text data is becoming increasingly popular in many research areas. This paper presents the Bayesian Topic Regression (BTR) model that uses both text and numerical information to model an outcome…
We present a new solution framework to solve the generalized trust region subproblem (GTRS) of minimizing a quadratic objective over a quadratic constraint. More specifically, we derive a convex quadratic reformulation (CQR) via minimizing…
Stochastic minimax optimization has drawn much attention over the past decade due to its broad applications in machine learning, signal processing and game theory. In some applications, the probability distribution of uncertainty depends on…
In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…
Inverse reinforcement learning (IRL) is typically formulated as maximizing entropy subject to matching the distribution of expert trajectories. Classical (dual-ascent) IRL guarantees monotonic performance improvement but requires fully…
This work presents PANTR, an efficient solver for nonconvex constrained optimization problems, that is well-suited as an inner solver for an augmented Lagrangian method. The proposed scheme combines forward-backward iterations with…
Bayesian Optimization (BO) is a popular framework for optimizing black-box functions. Despite its effectiveness, BO is often inefficient for high-dimensional problems due to the exponential growth of the search space, heterogeneity of the…
Trust-region methods (TR) can converge quadratically to minima where the Hessian is positive definite. However, if the minima are not isolated, then the Hessian there cannot be positive definite. The weaker…
Trust region policy optimization (TRPO) is a popular and empirically successful policy search algorithm in Reinforcement Learning (RL) in which a surrogate problem, that restricts consecutive policies to be 'close' to one another, is…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
We present an algorithm to perform trust-region-based optimization for nonlinear unconstrained problems. The method selectively uses function and gradient evaluations at different floating-point precisions to reduce the overall energy…
In this paper, we propose a new and efficient nonmonotone adaptive trust region algorithm to solve unconstrained optimization problems. This algorithm incorporates two novelties: it benefits from a radius dependent shrinkage parameter for…
Total variation integer optimal control problems admit solutions and necessary optimality conditions via geometric variational analysis. In spite of the existence of said solutions, algorithms which solve the discretized objective suffer…
Recently, adversarial imitation learning has shown a scalable reward acquisition method for inverse reinforcement learning (IRL) problems. However, estimated reward signals often become uncertain and fail to train a reliable statistical…
An algorithm is proposed for solving stochastic and finite sum minimization problems. Based on a trust region methodology, the algorithm employs normalized steps, at least as long as the norms of the stochastic gradient estimates are within…
In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…
Bias is a common problem inherent in recommender systems, which is entangled with users' preferences and poses a great challenge to unbiased learning. For debiasing tasks, the doubly robust (DR) method and its variants show superior…
In this contribution we device and analyze improved variants of the non-conforming dual approach for trust-region reduced basis (TR-RB) approximation of PDE-constrained parameter optimization that has recently been introduced in [Keil et…