Related papers: Newton-type algorithms for inverse optimization II…
Data-driven inverse optimization for mixed-integer linear programs (MILPs), which seeks to learn an objective function and constraints consistent with observed decisions, is important for building accurate mathematical models in a variety…
The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following…
In this paper, we consider variants of Newton-MR algorithm for solving unconstrained, smooth, but non-convex optimization problems. Unlike the overwhelming majority of Newton-type methods, which rely on conjugate gradient algorithm as the…
We develop a computationally efficient algorithm for the automatic regularization of nonlinear inverse problems based on the discrepancy principle. We formulate the problem as an equality constrained optimization problem, where the…
The ordered weighted $\ell_1$ (OWL) norm is a newly developed generalization of the Octogonal Shrinkage and Clustering Algorithm for Regression (OSCAR) norm. This norm has desirable statistical properties and can be used to perform…
The problem of minimizing a sum of local convex objective functions over a networked system captures many important applications and has received much attention in the distributed optimization field. Most of existing work focuses on…
Superlinear convergence has been an elusive goal for black-box nonsmooth optimization. Even in the convex case, the subgradient method is very slow, and while some cutting plane algorithms, including traditional bundle methods, are popular…
We provide algorithms for isotonic regression minimizing $L_0$ error (Hamming distance). This is also known as monotonic relabeling, and is applicable when labels have a linear ordering but not necessarily a metric. There may be…
Variable order structures model situations in which the comparison between two points depends on a point-to-cone map. In this paper, an inexact projected gradient method for solving smooth constrained vector optimization problems on…
Reinforcement learning can acquire complex behaviors from high-level specifications. However, defining a cost function that can be optimized effectively and encodes the correct task is challenging in practice. We explore how inverse optimal…
This work is about recovering an analysis-sparse vector, i.e. sparse vector in some transform domain, from under-sampled measurements. In real-world applications, there often exist random analysis-sparse vectors whose distribution in the…
Minimizing a convex function of a measure with a sparsity-inducing penalty is a typical problem arising, e.g., in sparse spikes deconvolution or two-layer neural networks training. We show that this problem can be solved by discretizing the…
The goal of optimal transport (OT) is to find optimal assignments or matchings between data sets which minimize the total cost for a given cost function. However, sometimes the cost function is unknown but we have access to (parts of) the…
In many contemporary optimization problems such as those arising in machine learning, it can be computationally challenging or even infeasible to evaluate an entire function or its derivatives. This motivates the use of stochastic…
We study a Newton-like method for the minimization of an objective function that is the sum of a smooth convex function and an l-1 regularization term. This method, which is sometimes referred to in the literature as a proximal Newton…
Motivated by value function estimation in reinforcement learning, we study statistical linear inverse problems, i.e., problems where the coefficients of a linear system to be solved are observed in noise. We consider penalized estimators,…
Stochastic variance reduction has proven effective at accelerating first-order algorithms for solving convex finite-sum optimization tasks such as empirical risk minimization. Incorporating second-order information has proven helpful in…
Study of a simple single-trace transmission example shows how an extended source formulation of full-waveform inversion can produce an optimization problem without spurious local minima ("cycle skipping"), hence efficiently solvable via…
Developing meta-learning algorithms that are un-biased toward a subset of training tasks often requires hand-designed criteria to weight tasks, potentially resulting in sub-optimal solutions. In this paper, we introduce a new principled and…
We consider the fundamental problem in non-convex optimization of efficiently reaching a stationary point. In contrast to the convex case, in the long history of this basic problem, the only known theoretical results on first-order…