Related papers: Non-geodesically-convex optimization in the Wasser…
We propose a general scheme for solving convex and non-convex optimization problems on manifolds. The central idea is that, by adding a multiple of the squared retraction distance to the objective function in question, we "convexify" the…
Motivated by pedestrian modelling, we study evolution of measures in the Wasserstein space. In particular, we consider the Cauchy problem for a transport equation, where the velocity field depends on the measure itself. We deal with…
The popular Lasso approach for sparse estimation can be derived via marginalization of a joint density associated with a particular stochastic model. A different marginalization of the same probabilistic model leads to a different…
We develop a rigorous framework for global non-convex optimization by reformulating the minimization problem as a discounted infinite-horizon optimal control problem. For non-convex, continuous, and possibly non-smooth objective functions…
In this paper we focus on the convergence analysis of the forward-backward splitting method for solving nonsmooth optimization problems in Hilbert spaces when the objective function is the sum of two convex functions. Assuming that one of…
Communication is one of the bottlenecks of distributed optimisation and learning. To overcome this bottleneck, we propose a novel quantization method that transforms a vector into a sample of components' indices drawn from a categorical…
We discuss the relation between the Wasserstein distance of order 1 between probability distributions on a metric space, arising in the study of Monge-Kantorovich transport problem, and the spectral distance of noncommutative geometry.…
In this paper we develop an intrinsic formalism to study the topology, smooth structure, and Riemannian geometry of the Wasserstein space of a closed Riemannian manifold. Our formalism allows for a new characterisation of the Weak topology…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
We propose a descent subgradient algorithm for unconstrained nonsmooth nonconvex multiobjective optimization problems. To find a descent direction, we present an iterative process that efficiently approximates the Goldstein subdifferential…
An optimization algorithm for nonsmooth nonconvex constrained optimization problems with upper-C2 objective functions is proposed and analyzed. Upper-C2 is a weakly concave property that exists in difference of convex (DC) functions and…
Non-convex optimization is ubiquitous in modern machine learning. Researchers devise non-convex objective functions and optimize them using off-the-shelf optimizers such as stochastic gradient descent and its variants, which leverage the…
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
Constrained non-convex optimization is fundamentally challenging, as global solutions are generally intractable and constraint qualifications may not hold. However, in many applications, including safe policy optimization in control and…
It has been shown beneficial for many types of data which present an underlying hierarchical structure to be embedded in hyperbolic spaces. Consequently, many tools of machine learning were extended to such spaces, but only few…
We study a class of optimization problems including matrix scaling, matrix balancing, multidimensional array scaling, operator scaling, and tensor scaling that arise frequently in theory and in practice. Some of these problems, such as…
We study unconstrained optimization problems of nonsmooth, nonconvex Lipschitz functions, using only noisy pairwise comparisons governed by a known link function. Our goal is to compute a $(\delta,\varepsilon)$-Goldstein stationary point.…
We present a framework that allows for the non-asymptotic study of the $2$-Wasserstein distance between the invariant distribution of an ergodic stochastic differential equation and the distribution of its numerical approximation in the…
We analyze the global and local behavior of gradient-like flows under stochastic errors towards the aim of solving convex optimization problems with noisy gradient input. We first study the unconstrained differentiable convex case, using a…
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…