Related papers: Randomized methods for computing optimal transport…

In this paper we propose a distributed version of a randomized block-coordinate descent method for minimizing the sum of a partially separable smooth convex function and a fully separable non-smooth convex function. Under the assumption of…

In this paper, we present a new policy gradient (PG) methods, namely the block policy mirror descent (BPMD) method for solving a class of regularized reinforcement learning (RL) problems with (strongly)-convex regularizers. Compared to the…

We consider (stochastic) convex-concave saddle point (SP) problems with high-dimensional decision variables, arising in various applications including machine learning problems. To contend with the challenges in computing full gradients, we…

Many applications require minimizing a family of optimization problems indexed by some hyperparameter $\lambda \in \Lambda$ to obtain an entire solution path. Traditional approaches proceed by discretizing $\Lambda$ and solving a series of…

Optimal transport (OT) distances are finding evermore applications in machine learning and computer vision, but their wide spread use in larger-scale problems is impeded by their high computational cost. In this work we develop a family of…

Vehicle Routing Problem with Private fleet and common Carrier (VRPPC) has been proposed to help a supplier manage package delivery services from a single depot to multiple customers. Most of the existing VRPPC works consider deterministic…

We develop a novel unified randomized block-coordinate primal-dual algorithm to solve a class of nonsmooth constrained convex optimization problems, which covers different existing variants and model settings from the literature. We prove…

Existing gradient coding schemes introduce identical redundancy across the coordinates of gradients and hence cannot fully utilize the computation results from partial stragglers. This motivates the introduction of diverse redundancies…

In this work, we analyze Parametrized Advection-Dominated distributed Optimal Control Problems with random inputs in a Reduced Order Model (ROM) context. All the simulations are initially based on a finite element method (FEM)…

We consider stochastic approximations of sampling algorithms, such as Stochastic Gradient Langevin Dynamics (SGLD) and the Random Batch Method (RBM) for Interacting Particle Dynamcs (IPD). We observe that the noise introduced by the…

Langevin Monte Carlo (LMC) is a popular Bayesian sampling method. For the log-concave distribution function, the method converges exponentially fast, up to a controllable discretization error. However, the method requires the evaluation of…

This article introduces randomized block Gram-Schmidt process (RBGS) for QR decomposition. RBGS extends the single-vector randomized Gram-Schmidt (RGS) algorithm and inherits its key characteristics such as being more efficient and having…

In this paper, we propose a new framework named Communication Optimal Transport (CommOT) for computing the rate distortion (RD) function. This work is motivated by observing the fact that the transition law and the relative entropy in…

In this paper, we investigate the optimal output tracking problem for linear discrete-time systems with unknown dynamics using reinforcement learning and robust output regulation theory. This output tracking problem only allows to utilize…

We consider least squares semidefinite programming (LSSDP) where the primal matrix variable must satisfy given linear equality and inequality constraints, and must also lie in the intersection of the cone of symmetric positive semidefinite…

This paper is concerned with multi-agent optimization problem. A distributed randomized gradient-free mirror descent (DRGFMD) method is developed by introducing a randomized gradient-free oracle in the mirror descent scheme where the…

We consider a class of integer linear programs (IPs) that arise as discretizations of trust-region subproblems of a trust-region algorithm for the solution of control problems, where the control input is an integer-valued function on a…

Block-coordinate descent (BCD) is the method of choice to solve numerous large scale optimization problems, however their theoretical study for non-convex optimization, has received less attention. In this paper, we present a new…

This paper presents a novel sensitivity-based distributed programming (SBDP) approach for non-convex, large-scale nonlinear programs (NLP). The algorithm relies on first-order sensitivities to cooperatively solve the central NLP in a…

We introduce a new analytic framework to analyze the convergence of the Randomized Stochastic Gradient Descent Ascent (RSGDA) algorithm for stochastic minimax optimization problems. Under the so-called NC-PL condition on one of the…