Related papers: HiQR: An efficient algorithm for high-dimensional …
Convex quadratic programs (QPs) constitute a fundamental computational primitive across diverse domains including financial optimization, control systems, and machine learning. The alternating direction method of multipliers (ADMM) has…
The alternating direction method of multipliers (ADMM) is a common optimization tool for solving constrained and non-differentiable problems. We provide an empirical study of the practical performance of ADMM on several nonconvex…
The ordinary least squares estimate in linear regression is sensitive to the influence of errors with large variance, which reduces its robustness, especially when dealing with heavy-tailed errors or outliers frequently encountered in…
Challenges with data in the big-data era include (i) the dimension $p$ is often larger than the sample size $n$ (ii) outliers or contaminated points are frequently hidden and more difficult to detect. Challenge (i) renders most conventional…
Non-convex quadratically constrained quadratic programming (QCQP) problems have numerous applications in signal processing, machine learning, and wireless communications, albeit the general QCQP is NP-hard, and several interesting special…
The composite quantile regression (CQR) was introduced by Zou and Yuan [Ann. Statist. 36 (2008) 1108--1126] as a robust regression method for linear models with heavy-tailed errors while achieving high efficiency. Its penalized counterpart…
Heterogeneous data are now ubiquitous in many applications in which correctly identifying the subgroups from a heterogeneous population is critical. Although there is an increasing body of literature on subgroup detection, existing methods…
We present an Alternating Direction Method of Multipliers (ADMM) algorithm for solving optimization problems with an l_1 regularized least-squares cost function subject to recursive equality constraints. The considered optimization problem…
In this paper we propose a fast optimization algorithm for approximately minimizing convex quadratic functions over the intersection of affine and separable constraints (i.e., the Cartesian product of possibly nonconvex real sets). This…
In high dimensional regression, where the number of covariates is of the order of the number of observations, ridge penalization is often used as a remedy against overfitting. Unfortunately, for correlated covariates such regularisation…
In recent years, considerable attention has been devoted to the regularization models due to the presence of high-dimensional data in scientific research. Sparse support vector machine (SVM) are useful tools in high-dimensional data…
Sparse penalized quantile regression provides an effective framework for variable selection and robust estimation in high-dimensional data analysis. When ex planatory variables are organized into groups, achieving sparsity both within and…
This article focuses on the problem of reconstructing low-rank matrices from underdetermined measurements using alternating optimization strategies. We endeavour to combine an alternating least-squares based estimation strategy with ideas…
An alternating direction method of multipliers (ADMM) solver is described for optimal resource allocation problems with separable convex quadratic costs and constraints and linear coupling constraints. We describe a parallel implementation…
This paper addresses the problem of efficiently classifying high-dimensional data over decentralized networks. Penalized support vector machines (SVMs) are widely used for high-dimensional classification tasks. However, the double…
The alternating direction method of multipliers (ADMM) is a powerful algorithm for solving decentralized optimization problems including networked microgrid energy management (NetMEM). However, its performance is highly sensitive to the…
We propose a penalized method for the least squares estimator of a multivariate concave regression function. This estimator is formulated as a quadratic programming (QP) problem with $O(n^2)$ constraints, where n is the number of…
Alternating Direction Method of Multipliers (ADMM) has been used successfully in many conventional machine learning applications and is considered to be a useful alternative to Stochastic Gradient Descent (SGD) as a deep learning optimizer.…
Ridge regression is a well established regression estimator which can conveniently be adapted for classification problems. One compelling reason is probably the fact that ridge regression emits a closed-form solution thereby facilitating…
The Alternating Direction Method of Multipliers (ADMM) has gained a lot of attention for solving large-scale and objective-separable constrained optimization. However, the two-block variable structure of the ADMM still limits the practical…