Related papers: Sparse Convex Optimization Toolkit: A Mixed-Intege…
This paper presents the Distributed Primal Outer Approximation (DiPOA) algorithm for solving Sparse Convex Programming (SCP) problems with separable structures, efficiently, and in a decentralized manner. The DiPOA algorithm development…
This paper presents a novel partially distributed outer approximation algorithm, named PaDOA, for solving a class of structured mixed integer convex programming (MICP) problems to global optimality. The proposed scheme uses an iterative…
This paper proposes distributed algorithms to solve robust convex optimization (RCO) when the constraints are affected by nonlinear uncertainty. We adopt a scenario approach by randomly sampling the uncertainty set. To facilitate the…
Sparsity-constrained optimization underlies many problems in signal processing, statistics, and machine learning. State-of-the-art hard-thresholding (HT) algorithms rely on an appropriately selected continuous step-size parameter to ensure…
While the ultimate goal of solving computationally intractable problems is to find a provably optimal solutions, practical constraints of real-world scenarios often necessitate focusing on efficiently obtaining high-quality, near-optimal…
Many machine learning models, such as logistic regression~(LR) and support vector machine~(SVM), can be formulated as composite optimization problems. Recently, many distributed stochastic optimization~(DSO) methods have been proposed to…
Mixed-integer convex programming (MICP) has seen significant algorithmic and hardware improvements with several orders of magnitude solve time speedups compared to 25 years ago. Despite these advances, MICP has been rarely applied to…
Many robotics problems, from robot motion planning to object manipulation, can be modeled as mixed-integer convex programs (MICPs). However, state-of-the-art algorithms are still unable to solve MICPs for control problems quickly enough for…
We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed debt/equity requirement. We take the real situation with cross…
In this paper, we propose a single-loop stochastic gradient algorithm for solving stochastic nonconvex-concave minimax optimization with nonlinear convex coupled constraints (MCC). The proposed method, SPACO (Stochastic Penalty-based…
Convex optimization is an essential tool for machine learning, as many of its problems can be formulated as minimization problems of specific objective functions. While there is a large variety of algorithms available to solve convex…
This paper presents an efficient Mixed-Integer Nonlinear Programming (MINLP) formulation for systems with discrete control inputs under dwell time constraints. By viewing such systems as a switched system, the problem is decomposed into a…
This paper presents a novel outer approximation algorithm for nonsmooth mixed-integer nonlinear programming (MINLP) problems. The method proceeds by fixing the integer variables and solving the resulting nonlinear convex subproblem. When…
In this paper, we propose a distributed algorithm for stochastic smooth, non-convex optimization. We assume a worker-server architecture where $N$ nodes, each having $n$ (potentially infinite) number of samples, collaborate with the help of…
Decentralized optimization algorithms have attracted intensive interests recently, as it has a balanced communication pattern, especially when solving large-scale machine learning problems. Stochastic Path Integrated Differential Estimator…
Sparse, irregular graphs show up in various applications like linear algebra, machine learning, engineering simulations, robotic control, etc. These graphs have a high degree of parallelism, but their execution on parallel threads of modern…
We propose an algorithm for generating explicit solutions of multiparametric mixed-integer convex programs to within a given suboptimality tolerance. The algorithm is applicable to a very general class of optimization problems, but is most…
In this two-part paper, we propose a general algorithmic framework for the minimization of a nonconvex smooth function subject to nonconvex smooth constraints. The algorithm solves a sequence of (separable) strongly convex problems and…
Mixed-integer convex quadratic programs with indicator variables (MIQP) encompass a wide range of applications, from statistical learning to energy, finance, and logistics. The outer approximation (OA) algorithm has been proven efficient in…
In this paper, we develop a fast mixed-integer convex programming (MICP) framework for multi-robot navigation by combining graph attention networks and distributed optimization. We formulate a mixed-integer optimization problem for receding…