Related papers: A General Mixed-Order Primal-Dual Dynamical System…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
In a real Hilbert space, we consider two classical problems: the global minimization of a smooth and convex function $f$ (i.e., a convex optimization problem) and finding the zeros of a monotone and continuous operator $V$ (i.e., a monotone…
This paper studies the problem of online performance optimization of constrained closed-loop control systems, where both the objective and the constraints are unknown black-box functions affected by exogenous time-varying contextual…
In this paper, we consider optimizing a smooth, convex, lower semicontinuous function in Riemannian space with constraints. To solve the problem, we first convert it to a dual problem and then propose a general primal-dual algorithm to…
Using convex combination and linesearch techniques, we introduce a novel primal-dual algorithm for solving structured convex-concave saddle point problems with a generic smooth nonbilinear coupling term. Our adaptive linesearch strategy…
We develop a first-order accelerated algorithm for a class of constrained bilinear saddle-point problems with applications to network systems. The algorithm is a modified time-varying primal-dual version of an accelerated mirror-descent…
This paper studies the asymptotic convergence properties of the primal-dual dynamics designed for solving constrained concave optimization problems using classical notions from stability analysis. We motivate the need for this study by…
The paper proposes a variational-inequality based primal-dual dynamic that has a globally exponentially stable saddle-point solution when applied to solve linear inequality constrained optimization problems. A Riemannian geometric framework…
This work is concerned with linear inverse problems where a distributed parameter is known a priori to only take on values from a given discrete set. This property can be promoted in Tikhonov regularization with the aid of a suitable convex…
Based on a preconditioned version of the randomized block-coordinate forward-backward algorithm recently proposed in [Combettes,Pesquet,2014], several variants of block-coordinate primal-dual algorithms are designed in order to solve a wide…
This paper provides a new unified framework for second-moment stability of discrete-time linear systems with stochastic dynamics. Relations of notions of second-moment stability are studied for the systems with general stochastic dynamics,…
In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…
Distributionally robust optimization has been shown to offer a principled way to regularize learning models. In this paper, we find that Tikhonov regularization is distributionally robust in an optimal transport sense (i.e., if an adversary…
This technical note considers a distributed convex optimization problem with nonsmooth cost functions and coupled nonlinear inequality constraints. To solve the problem, we first propose a modified Lagrangian function containing local…
The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…
We consider the Nesterov accelerated primal-dual dynamical system \[ \begin{cases} \ddot{x}(t)+\dfrac{\alpha}{t}\dot{x}(t) +\nabla f(x(t)) +A^\top\bigl(\lambda(t)+\theta t\dot{\lambda}(t)\bigr)+\beta A^\top(Ax(t)-b)=0,\\[0.6em]…
This paper considers decentralized dynamic optimization problems where nodes of a network try to minimize a sequence of time-varying objective functions in a real-time scheme. At each time slot, nodes have access to different summands of an…
This paper considers time-average optimization, where a decision vector is chosen every time step within a (possibly non-convex) set, and the goal is to minimize a convex function of the time averages subject to convex constraints on these…
This paper proposes a two-timescale compressed primal-dual (TiCoPD) algorithm for decentralized optimization with improved communication efficiency over prior works on primal-dual decentralized optimization. The algorithm is built upon the…
In this paper we propose a class of randomized primal-dual methods to contend with large-scale saddle point problems defined by a convex-concave function $\mathcal{L}(\mathbf{x},y)\triangleq\sum_{i=1}^m f_i(x_i)+\Phi(\mathbf{x},y)-h(y)$. We…