Related papers: Projection-Free Non-Smooth Convex Programming
We present a novel gradient-free algorithm to solve a convex stochastic optimization problem, such as those encountered in medicine, physics, and machine learning (e.g., adversarial multi-armed bandit problem), where the objective function…
We consider the problem of minimizing a convex objective which is the sum of a smooth part, with Lipschitz continuous gradient, and a nonsmooth part. Inspired by various applications, we focus on the case when the nonsmooth part is a…
In this paper we propose stochastic gradient-free methods and accelerated methods with momentum for solving stochastic optimization problems. All these methods rely on stochastic directions rather than stochastic gradients. We analyze the…
We investigate a projection free method, namely conditional gradient sliding on batched, stochastic and finite-sum non-convex problem. CGS is a smart combination of Nesterov's accelerated gradient method and Frank-Wolfe (FW) method, and…
In this paper we propose a variant of the random coordinate descent method for solving linearly constrained convex optimization problems with composite objective functions. If the smooth part of the objective function has Lipschitz…
In this paper, we consider a class of structured nonconvex nonsmooth optimization problems, in which the objective function is formed by the sum of a possibly nonsmooth nonconvex function and a differentiable function whose gradient is…
In this work, we consider constrained stochastic optimization problems under hidden convexity, i.e., those that admit a convex reformulation via non-linear (but invertible) map $c(\cdot)$. A number of non-convex problems ranging from…
We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy…
Optimization models with non-convex constraints arise in many tasks in machine learning, e.g., learning with fairness constraints or Neyman-Pearson classification with non-convex loss. Although many efficient methods have been developed…
We present a subgradient method for minimizing non-smooth, non-Lipschitz convex optimization problems. The only structure assumed is that a strictly feasible point is known. We extend the work of Renegar [5] by taking a different…
Much of the existing theory on first-order non-smooth optimization is built on a restrictive assumption that the gradients of the objective function are uniformly bounded. We introduce a much more realistic class of generalized Lipschitz…
We propose ALFCG (Adaptive Lipschitz-Free Conditional Gradient), the first \textit{adaptive} projection-free framework for stochastic composite nonconvex minimization that \textit{requires neither global smoothness constants nor line…
We consider the setting of online convex optimization (OCO) with \textit{exp-concave} losses. The best regret bound known for this setting is $O(n\log{}T)$, where $n$ is the dimension and $T$ is the number of prediction rounds (treating all…
This paper addresses a class of (non-)convex optimization problems subject to general convex constraints, which pose significant challenges for traditional methods due to their inherent non-convexity and diversity. Conventional convex…
We study a generalization of the Online Convex Optimization (OCO) framework with time-varying adversarial constraints. In this setting, at each round, the learner selects an action from a convex decision set $X$, after which both a convex…
Stochastic non-smooth convex optimization constitutes a class of problems in machine learning and operations research. This paper considers minimization of a non-smooth function based on stochastic subgradients. When the function has a…
In this paper, we present a new ellipsoid-type algorithm for solving nonsmooth problems with convex structure. Examples of such problems include nonsmooth convex minimization problems, convex-concave saddle-point problems and variational…
An algorithm is proposed, analyzed, and tested for minimizing locally Lipschitz objective functions that may be nonconvex and/or nonsmooth. The algorithm, which is built upon the gradient-sampling methodology, is designed specifically for…
The projection operation is a critical component in a wide range of optimization algorithms, such as online gradient descent (OGD), for enforcing constraints and achieving optimal regret bounds. However, it suffers from computational…
This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…