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We study stochastic second-order methods for solving general non-convex optimization problems. We propose using a special version of momentum to stabilize the stochastic gradient and Hessian estimates in Newton's method. We show that…
This paper proposes an efficient adaptive variant of a quadratic penalty accelerated inexact proximal point (QP-AIPP) method proposed earlier by the authors. Both the QP-AIPP method and its variant solve linearly set constrained nonconvex…
The canonical polyadic (CP) decomposition is one of the most widely used tensor decomposition techniques. The conventional CP decomposition algorithm combines alternating least squares (ALS) with the normal equation. However, the normal…
In this paper, we study the generalized problem that minimizes or maximizes a multi-order complex quadratic form with constant-modulus constraints on all elements of its optimization variable. Such a mathematical problem is commonly…
In recent years, the success of deep learning has inspired many researchers to study the optimization of general smooth non-convex functions. However, recent works have established pessimistic worst-case complexities for this class…
We study the optimization of (strongly) quasar-convex functions, a class that arises naturally in many machine learning and data science applications due to its favorable properties. The fundamental properties of this class are first…
In this paper, we study a second-order approach to policy optimization in reinforcement learning. Existing second-order methods often suffer from suboptimal sample complexity or rely on unrealistic assumptions about importance sampling. To…
We propose a first-order method to solve the cubic regularization subproblem (CRS) based on a novel reformulation. The reformulation is a constrained convex optimization problem whose feasible region admits an easily computable projection.…
In this paper we consider a nonconvex optimization problem with nonlinear equality constraints. We assume that both, the objective function and the functional constraints, are locally smooth. For solving this problem, we propose a…
We present a novel efficient theoretical and numerical framework for solving global non-convex polynomial optimization problems. We analytically demonstrate that such problems can be efficiently reformulated using a non-linear objective…
In this paper, we propose an efficient numerical approach for solving a specific type of quartic inhomogeneous polynomial optimization problem inspired by practical applications. The primary contribution of this work lies in establishing an…
This paper proposes an efficient algorithm (HOLRR) to handle regression tasks where the outputs have a tensor structure. We formulate the regression problem as the minimization of a least square criterion under a multilinear rank…
A quadratically constrained quadratic program (QCQP) is an optimization problem in which the objective function is a quadratic function and the feasible region is defined by quadratic constraints. Solving non-convex QCQP to global…
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…
Exploiting higher-order derivatives in convex optimization is known at least since 1970's. In each iteration higher-order (also called tensor) methods minimize a regularized Taylor expansion of the objective function, which leads to faster…
In this paper, we adopt the augmented Lagrangian method (ALM) to solve convex quadratic second-order cone programming problems (SOCPs). Fruitful results on the efficiency of the ALM have been established in the literature. Recently, it has…
Quadratic programming (QP) is a well-studied fundamental NP-hard optimization problem which optimizes a quadratic objective over a set of linear constraints. In this paper, we reformulate QPs as a mixed-integer linear problem (MILP). This…
This study proposes a cubic regularization of the Newton method for generating weakly efficient points of unconstrained vector optimization problems under no convexity assumption on the objective function. It is observed that at a given…
Quadratic constrained quadratic programming problems often occur in various fields such as engineering practice, management science, and network communication. This article mainly studies a non convex quadratic programming problem with…
We propose a new method for linear second-order cone programs. It is based on the sequential quadratic programming framework for nonlinear programming. In contrast to interior point methods, it can capitalize on the warm-start capabilities…