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We propose a first order algorithm, a modified version of FISTA, to solve an optimization problem with an objective function that is a sum of a possibly nonconvex function, with Lipschitz continuous gradient, and a convex function which can…
We propose a stochastic nonconvex optimization algorithm that achieves almost sure $\tilde{\mathcal{O}}(\epsilon^{-1.5})$ iteration complexity for problems with smooth objective functions and gradients only observable with noise. The…
In this work, we develop first-order (Hessian-free) and zero-order (derivative-free) implementations of the Cubically regularized Newton method for solving general non-convex optimization problems. For that, we employ finite difference…
We propose a random coordinate descent algorithm for optimizing a non-convex objective function subject to one linear constraint and simple bounds on the variables. Although it is common use to update only two random coordinates…
We analyze the adaptive first order algorithm AMSGrad, for solving a constrained stochastic optimization problem with a weakly convex objective. We prove the $\mathcal{\tilde O}(t^{-1/4})$ rate of convergence for the norm of the gradient of…
In nonsmooth optimization, a negative subgradient is not necessarily a descent direction, making the design of convergent descent methods based on zeroth-order and first-order information a challenging task. The well-studied bundle methods…
High-order tensor methods that employ Taylor-based local models (of degree $p\ge 3$) within adaptive regularization frameworks have been recently proposed for both convex and nonconvex optimization problems. They have been shown to have…
In this paper, we focus on the problem of minimizing a continuously differentiable convex objective function, $\min_x f(x)$. Recently, Malitsky (2020); Alacaoglu et al.(2023) developed an adaptive first-order method, GRAAL. This algorithm…
Stochastic composition optimization draws much attention recently and has been successful in many emerging applications of machine learning, statistical analysis, and reinforcement learning. In this paper, we focus on the composition…
Low-rank modeling has many important applications in computer vision and machine learning. While the matrix rank is often approximated by the convex nuclear norm, the use of nonconvex low-rank regularizers has demonstrated better empirical…
In this paper, we propose objective-function-free (OFF) variants of the proximal Newton method for nonconvex composite optimization problems and the regularized Newton method for unconstrained optimization problems, respectively, using…
We provide theoretical analysis of the statistical and computational properties of penalized $M$-estimators that can be formulated as the solution to a possibly nonconvex optimization problem. Many important estimators fall in this…
Given a nonsmooth, nonconvex minimization problem, we consider algorithms that iteratively sample and minimize stochastic convex models of the objective function. Assuming that the one-sided approximation quality and the variation of the…
Finding approximate stationary points, i.e., points where the gradient is approximately zero, of non-convex but smooth objective functions $f$ over unrestricted $d$-dimensional domains is one of the most fundamental problems in classical…
We consider unconstrained randomized optimization of convex objective functions. We analyze the Random Pursuit algorithm, which iteratively computes an approximate solution to the optimization problem by repeated optimization over a…
Momentum is a popular technique to accelerate the convergence in practical training, and its impact on convergence guarantee has been well-studied for first-order algorithms. However, such a successful acceleration technique has not yet…
We consider minimizing a function consisting of a quadratic term and a proximable term which is possibly nonconvex and nonsmooth. This problem is also known as scaled proximal operator. Despite its simple form, existing methods suffer from…
We introduce a generic scheme for accelerating first-order optimization methods in the sense of Nesterov, which builds upon a new analysis of the accelerated proximal point algorithm. Our approach consists of minimizing a convex objective…
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…
We study unconstrained optimization problems with nonsmooth and convex objective function in the form of a mathematical expectation. The proposed method approximates the expected objective function with a sample average function using…