Related papers: Quasi-Newton Steps for Efficient Online Exp-Concav…
Consider an oracle which takes a point $x$ and returns the minimizer of a convex function $f$ in an $\ell_2$ ball of radius $r$ around $x$. It is straightforward to show that roughly $r^{-1}\log\frac{1}{\epsilon}$ calls to the oracle…
For the general problem of minimizing a convex function over a compact convex domain, we will investigate a simple iterative approximation algorithm based on the method by Frank & Wolfe 1956, that does not need projection steps in order to…
In this work, we explore online convex optimization (OCO) and introduce a new condition and analysis that provides fast rates by exploiting the curvature of feasible sets. In online linear optimization, it is known that if the average…
In sparse optimization, enforcing hard constraints using the $\ell_0$ pseudo-norm offers advantages like controlled sparsity compared to convex relaxations. However, many real-world applications demand not only sparsity constraints but also…
We propose a stochastic variance-reduced cubic regularized Newton method for non-convex optimization. At the core of our algorithm is a novel semi-stochastic gradient along with a semi-stochastic Hessian, which are specifically designed for…
We propose a distributed cubic regularization of the Newton method for solving (constrained) empirical risk minimization problems over a network of agents, modeled as undirected graph. The algorithm employs an inexact, preconditioned Newton…
In this paper, an efficient modified Newton type algorithm is proposed for nonlinear unconstrianed optimization problems. The modified Hessian is a convex combination of the identity matrix (for steepest descent algorithm) and the Hessian…
We study Online Convex Optimization (OCO) with adversarial constraints, where an online algorithm must make sequential decisions to minimize both convex loss functions and cumulative constraint violations. We focus on a setting where the…
We consider the setting of online convex optimization with adversarial time-varying constraints in which actions must be feasible w.r.t. a fixed constraint set, and are also required on average to approximately satisfy additional…
This paper develops projection-free algorithms for online convex optimization with stochastic constraints. We design an online primal-dual projection-free framework that can take any projection-free algorithms developed for online convex…
Newton's method is a fundamental technique in optimization with quadratic convergence within a neighborhood around the optimum. However reaching this neighborhood is often slow and dominates the computational costs. We exploit two…
Optimization problems with composite functions consist of an objective function which is the sum of a smooth and a (convex) nonsmooth term. This particular structure is exploited by the class of proximal gradient methods and some of their…
We consider the online convex optimization problem. In the setting of arbitrary sequences and finite set of parameters, we establish a new fast-rate quantile regret bound. Then we investigate the optimization into the L1-ball by…
This paper investigates online algorithms for smooth time-varying optimization problems, focusing first on methods with constant step-size, momentum, and extrapolation-length. Assuming strong convexity, precise results for the tracking…
This paper focuses on convex constrained optimization problems, where the solution is subject to a convex inequality constraint. In particular, we aim at challenging problems for which both projection into the constrained domain and a…
We study the problem of minimizing a sum of convex objective functions where the components of the objective are available at different nodes of a network and nodes are allowed to only communicate with their neighbors. The use of…
The paper proposes and justifies a new algorithm of the proximal Newton type to solve a broad class of nonsmooth composite convex optimization problems without strong convexity assumptions. Based on advanced notions and techniques of…
The overarching goal of this paper is to derive excess risk bounds for learning from exp-concave loss functions in passive and sequential learning settings. Exp-concave loss functions encompass several fundamental problems in machine…
Motivated by recent developments in serverless systems for large-scale computation as well as improvements in scalable randomized matrix algorithms, we develop OverSketched Newton, a randomized Hessian-based optimization algorithm to solve…
We present a quasi-Newton method for unconstrained stochastic optimization. Most existing literature on this topic assumes a setting of stochastic optimization in which a finite sum of component functions is a reasonable approximation of an…