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The proliferation of saddle points, rather than poor local minima, is increasingly understood to be a primary obstacle in large-scale non-convex optimization for machine learning. Variable elimination algorithms, like Variable Projection…
An algorithm $M$ is described that solves any well-defined problem $p$ as quickly as the fastest algorithm computing a solution to $p$, save for a factor of 5 and low-order additive terms. $M$ optimally distributes resources between the…
The \emph{International Obfuscated C Code Contest} was a programming contest for the most creatively obfuscated yet succinct C code. By \emph{contrast}, an interest herein is in programs which are, \emph{in a sense}, \emph{easily} seen to…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
In this work, we show the consistency of an approach for solving robust optimization problems using sequences of sub-problems generated by ergodic measure preserving transformations. The main result of this paper is that the minimizers and…
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a closed convex subset of the unit ball of the dual of a Banach…
The main result of the paper is motivated by the following two, apparently unrelated graph optimization problems: (A) as an extension of Edmonds' disjoint branchings theorem, characterize digraphs comprising $k$ disjoint branchings $B_i$…
This paper presents a canonical d.c. (difference of canonical and convex functions) programming problem, which can be used to model general global optimization problems in complex systems. It shows that by using the canonical duality…
This article presents a validation of a recently proposed strongly polynomial-time algorithm for the general linear programming problem. The proposed algorithm is an implicit reduction procedure that combines primal and dual linear…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
This article focuses on numerical efficiency of projection algorithms for solving linear optimization problems. The theoretical foundation for this approach is provided by the basic result that bounded finite dimensional linear optimization…
The linear programming (LP) approach has a long history in the theory of approximate dynamic programming. When it comes to computation, however, the LP approach often suffers from poor scalability. In this work, we introduce a relaxed…
The paper introduces several new concepts for solving nonconvex or nonsmooth optimization problems, including convertible nonconvex function, exact convertible nonconvex function and differentiable convertible nonconvex function. It is…
This paper concerns parameterized convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional Banach (resp. finite-dimensional) spaces and that are indexed by an arbitrary fixed set T…
We consider the global minimization of a particular type of minimum structured optimization problems wherein the variables must belong to some basic set, the feasible domain is described by the intersection of a large number of functional…
This work introduces a sequential convex programming framework for non-linear, finite-dimensional stochastic optimal control, where uncertainties are modeled by a multidimensional Wiener process. We prove that any accumulation point of the…
Inspired by regularization techniques in statistics and machine learning, we study complementary composite minimization in the stochastic setting. This problem corresponds to the minimization of the sum of a (weakly) smooth function endowed…
We prove that a fractional perfect matching in a non-bipartite graph can be written, in polynomial time, as a convex combination of perfect matchings. This extends the Birkhoff-von Neumann Theorem from bipartite to non-bipartite graphs. The…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
This paper proposes a novel approach for solving linear programs. We reformulate a primal-dual linear program as an unconstrained minimization of a convex and twice continuously differentiable merit function. When the optimal set of the…