Related papers: Convex duality for stochastic shortest path proble…
We study the Stochastic Shortest Path (SSP) problem with a linear mixture transition kernel, where an agent repeatedly interacts with a stochastic environment and seeks to reach certain goal state while minimizing the cumulative cost.…
Stochastic sequential decision making often requires hierarchical structure in the problem where each high-level action should be further planned with primitive states and actions. In addition, many real-world applications require a plan…
Cyclic block coordinate methods are a fundamental class of optimization methods widely used in practice and implemented as part of standard software packages for statistical learning. Nevertheless, their convergence is generally not well…
Due to the non-convex nature of training Deep Neural Network (DNN) models, their effectiveness relies on the use of non-convex optimization heuristics. Traditional methods for training DNNs often require costly empirical methods to produce…
This paper focuses on solving a stochastic variational inequality (SVI) problem under relaxed smoothness assumption for a class of structured non-monotone operators. The SVI problem has attracted significant interest in the machine learning…
We propose and analyse primal-dual interior-point algorithms for convex optimization problems in conic form. The families of algorithms we analyse are so-called short-step algorithms and they match the current best iteration complexity…
In this paper we study a class of split variational inclusion (SVI) and regularized split variational inclusion (RSVI) problems in real Hilbert spaces. We discuss various analytical properties of the net generated by the RSVI and establish…
The canonical duality theory has provided with a unified analytic solution to a range of discrete and continuous problems in global optimization, which can transform a nonconvex primal problem to a concave maximization dual problem over a…
In this paper, we propose two novel non-stationary first-order primal-dual algorithms to solve nonsmooth composite convex optimization problems. Unlike existing primal-dual schemes where the parameters are often fixed, our methods use…
The study of convex functions - in particular, of their optimization (really minimization) is one of the most important fields of applied mathematics. Convexity seems to be one of those incredibly well-chosen hypotheses which is just…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
This thesis explores algorithmic applications and limitations of convex relaxation hierarchies for approximating some discrete and continuous optimization problems. - We show a dichotomy of approximability of constraint satisfaction…
We study solution methods for (strongly-)convex-(strongly)-concave Saddle-Point Problems (SPPs) over networks of two type - master/workers (thus centralized) architectures and meshed (thus decentralized) networks. The local functions at…
The structured singular value (SSV), or mu, is used to assess the robust stability and performance of an uncertain linear time-invariant system. Existing algorithms compute upper and lower bounds on the SSV for structured uncertainties that…
In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…
The paper introduces the first formulation of convex Q-learning for Markov decision processes with function approximation. The algorithms and theory rest on a relaxation of a dual of Manne's celebrated linear programming characterization of…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
Given an undirected graph $G=(V,E)$ and an integer $\ell$, the Eccentricity Shortest Path (ESP) asks to find a shortest path $P$ such that for every vertex $v\in V(G)$, there is a vertex $w\in P$ such that $d_G(v,w)\leq \ell$, where…
Bandit Convex Optimization is a fundamental class of sequential decision-making problems, where the learner selects actions from a continuous domain and observes a loss (but not its gradient) at only one point per round. We study this…
This paper focuses on the distributed optimization of stochastic saddle point problems. The first part of the paper is devoted to lower bounds for the centralized and decentralized distributed methods for smooth (strongly) convex-(strongly)…