Related papers: Convergence analysis of a primal-dual optimization…
Iterative image reconstruction (IIR) algorithms in Computed Tomography (CT) are based on algorithms for solving a particular optimization problem. Design of the IIR algorithm, therefore, is aided by knowledge of the solution to the…
In contrast with many other convex optimization classes, state-of-the-art semidefinite programming solvers are yet unable to efficiently solve large scale instances. This work aims to reduce this scalability gap by proposing a novel…
In this paper, we consider a class of finite-sum convex optimization problems whose objective function is given by the summation of $m$ ($\ge 1$) smooth components together with some other relatively simple terms. We first introduce a…
We develop block structure adapted primal-dual algorithms for non-convex non-smooth optimisation problems whose objectives can be written as compositions $G(x)+F(K(x))$ of non-smooth block-separable convex functions $G$ and $F$ with a…
We consider minimization of a smooth nonconvex function with inexact oracle access to gradient and Hessian (without assuming access to the function value) to achieve approximate second-order optimality. A novel feature of our method is that…
In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…
In Hilbert space, we propose a family of primal-dual dynamical system for affine constrained convex optimization problem. Several damping coefficients, time scaling coefficients, and perturbation terms are thus considered. By constructing…
Dual first-order methods are essential techniques for large-scale constrained convex optimization. However, when recovering the primal solutions, we need $T(\epsilon^{-2})$ iterations to achieve an $\epsilon$-optimal primal solution when we…
We propose in this paper a unifying scheme for several algorithms from the literature dedicated to the solving of monotone inclusion problems involving compositions with linear continuous operators in infinite dimensional Hilbert spaces. We…
We consider strongly-convex-strongly-concave saddle-point problems with general non-bilinear objective and different condition numbers with respect to the primal and the dual variables. First, we consider such problems with smooth composite…
We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…
In this paper, we propose a new algorithm for recovery of low-rank matrices from compressed linear measurements. The underlying idea of this algorithm is to closely approximate the rank function with a smooth function of singular values,…
This paper studies the continuous-time dynamics of primal-dual algorithms for linearly constrained convex optimization problems and provides a quantitative convergence analysis using the Lyapunov functions. With the growing prevalence of…
We propose an unconstrained optimization method based on the well-known primal-dual hybrid gradient (PDHG) algorithm. We first formulate the optimality condition of the unconstrained optimization problem as a saddle point problem. We then…
The distributed nonconvex optimization problem of minimizing a global cost function formed by a sum of $n$ local cost functions by using local information exchange is considered. This problem is an important component of many machine…
Distributed and iterative network utility maximization algorithms, such as the primal-dual algorithms or the network-user decomposition algorithms, often involve trajectories where the iterates may be infeasible, convergence to the optimal…
Proximal point algorithm has found many applications, and it has been playing fundamental roles in the understanding, design, and analysis of many first-order methods. In this paper, we derive the tight convergence rate in subgradient norm…
This paper deals with supervised classification and feature selection in high dimensional space. A classical approach is to project data on a low dimensional space and classify by minimizing an appropriate quadratic cost. A strict control…
This paper presents a majorized alternating direction method of multipliers (ADMM) with indefinite proximal terms for solving linearly constrained $2$-block convex composite optimization problems with each block in the objective being the…
We study a class of convex-concave min-max problems in which the coupled component of the objective is linear in at least one of the two decision vectors. We identify such problem structure as interpolating between the bilinearly and…