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We propose a new framework for black-box convex optimization which is well-suited for situations where gradient computations are expensive. We derive a new method for this framework which leverages several concepts from convex optimization,…
In this paper, we propose a branch-and-bound algorithm for solving nonconvex quadratic programming problems with box constraints (BoxQP). Our approach combines existing tools, such as semidefinite programming (SDP) bounds strengthened…
A novel inner approximation algorithm is proposed for dynamic optimization problems to ensure strict satisfaction of path constraints. Distinct from traditional methods relying on interval analysis, the proposed algorithm leverages the…
Structured optimization problems are ubiquitous in fields like data science and engineering. The goal in structured optimization is using a prescribed set of points, called atoms, to build up a solution that minimizes or maximizes a given…
A new exact projective penalty method is proposed for the equivalent reduction of constrained optimization problems to nonsmooth unconstrained ones. In the method, the original objective function is extended to infeasible points by summing…
As surrogate functions of $L_0$-norm, many nonconvex penalty functions have been proposed to enhance the sparse vector recovery. It is easy to extend these nonconvex penalty functions on singular values of a matrix to enhance low-rank…
The aim of this paper is to design an efficient multigrid method for constrained convex optimization problems arising from discretization of some underlying infinite dimensional problems. Due to problem dependency of this approach, we only…
We consider a convex optimization problem with many linear inequality constraints. To deal with a large number of constraints, we provide a penalty reformulation of the problem, where the penalty is a variant of the one-sided Huber loss…
This work is concerned with the optimization of nonconvex, nonsmooth composite optimization problems, whose objective is a composition of a nonlinear mapping and a nonsmooth nonconvex function, that can be written as an infimal convolution…
We introduce a primal-dual framework for solving linearly constrained nonconvex composite optimization problems. Our approach is based on a newly developed Lagrangian, which incorporates \emph{false penalty} and dual smoothing terms. This…
In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…
In this work, the joint use of a mixed penalty-interior point method and direct search is proposed, to address {nonlinear} constrained derivative-free optimization problems. A merit function is considered, wherein the set of nonlinear…
For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…
In this paper, we propose a unified primal-dual algorithm framework based on the augmented Lagrangian function for composite convex problems with conic inequality constraints. The new framework is highly versatile. First, it not only covers…
This paper studies a stochastic algorithm for linearly constrained nonconvex optimization, where the objective function is smooth but only unbiased stochastic gradients with bounded variance are available. We propose a momentum-based…
We address the problem of minimizing a smooth function $f^0(x)$ over a compact set $D$ defined by smooth functional constraints $f^i(x)\leq 0,~ i = 1,\ldots, m$ given noisy value measurements of $f^i(x)$. This problem arises in…
Nonconvex optimization refers to the process of solving problems whose objective or constraints are nonconvex. Historically, this type of problems have been very difficult to solve to global optimality, with traditional solvers often…
We prove that the classic logarithmic barrier problem is equivalent to a particular logarithmic barrier positive relaxation problem with barrier and scaling parameters. Based on the equivalence, a line-search primal-dual interior-point…
We classify, according to their computational complexity, integer optimization problems whose constraints and objective functions are polynomials with integer coefficients and the number of variables is fixed. For the optimization of an…
In this paper we present two frameworks in which global maximization of a bounded hessian function over a strongly convex set can be reduced to convex optimization. The first presented framework is a continuation of one of our previous…