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We propose a novel adaptive, accelerated algorithm for the stochastic constrained convex optimization setting. Our method, which is inspired by the Mirror-Prox method, \emph{simultaneously} achieves the optimal rates for smooth/non-smooth…
In this work, we present a novel approach for solving stochastic shape optimization problems. Our method is the extension of the classical stochastic gradient method to infinite-dimensional shape manifolds. We prove convergence of the…
Minimizing a convex function of a measure with a sparsity-inducing penalty is a typical problem arising, e.g., in sparse spikes deconvolution or two-layer neural networks training. We show that this problem can be solved by discretizing the…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
Majorization-minimization algorithms consist of iteratively minimizing a majorizing surrogate of an objective function. Because of its simplicity and its wide applicability, this principle has been very popular in statistics and in signal…
This paper continues earlier work and is concerned with the inverse problem of parameter identification in variational inequalities of the second kind that does not only treat the parameter linked to a bilinear form, but importantly also…
The main issues of the original Symmetrical smoothing method consists of approximation of the extremal volume of the set by the smooth symmetric function (sum of step functions) and then solve the optimization problem. when making…
Lower-bound analyses for nonconvex strongly-concave minimax optimization problems have shown that stochastic first-order algorithms require at least $\mathcal{O}(\varepsilon^{-4})$ oracle complexity to find an $\varepsilon$-stationary…
We consider centralized and distributed mirror descent algorithms over a finite-dimensional Hilbert space, and prove that the problem variables converge to an optimizer of a possibly nonsmooth function when the step sizes are square…
The article is devoted to the development of numerical methods for solving variational inequalities with relatively strongly monotone operators. We consider two classes of variational inequalities related to some analogs of the Lipschitz…
We propose a new family of adaptive first-order methods for a class of convex minimization problems that may fail to be Lipschitz continuous or smooth in the standard sense. Specifically, motivated by a recent flurry of activity on…
In this paper we present a convergence rate analysis of inexact variants of several randomized iterative methods. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic…
This paper treats the problem of minimizing a general continuously differentiable function subject to sparsity constraints. We present and analyze several different optimality criteria which are based on the notions of stationarity and…
This chapter is devoted to the black-box subgradient algorithms with the minimal requirements for the storage of auxiliary results, which are necessary to execute these algorithms. It starts with the original result of N.Z. Shor which open…
Stochastic Approximation has been a prominent set of tools for solving problems with noise and uncertainty. Increasingly, it becomes important to solve optimization problems wherein there is noise in both a set of constraints that a…
In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an…
Optimization techniques are at the core of many scientific and engineering disciplines. The steepest descent methods play a foundational role in this area. In this paper we studied a generalized steepest descent method on Riemannian…
We consider the problem of minimizing the sum of an average function of a large number of smooth convex components and a general, possibly non-differentiable, convex function. Although many methods have been proposed to solve this problem…
In this invited contribution, we revisit the stochastic shortest path problem, and show how recent results allow one to improve over the classical solutions: we present algorithms to synthesize strategies with multiple guarantees on the…
In this article we describe the solutions of three problems posed at different time by Yurii Nesterov. First problem is 'Mage vs Experts': Assume that we live in some enviroment that characterized by unobservable convex function $f(x)$.…