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We develop a principled approach to obtain exact computer-aided worst-case guarantees on the performance of second-order optimization methods on classes of univariate functions. We first present a generic technique to derive interpolation…
We consider the problem of maximizing a convex function over a closed convex set in a real Hilbert space. For linear functions, we show that a single orthogonal projection suffices to obtain an approximate solution. For continuous convex…
We consider the problem of minimizing a convex function over the intersection of finitely many simple sets which are easy to project onto. This is an important problem arising in various domains such as machine learning. The main difficulty…
The Frank-Wolfe method solves smooth constrained convex optimization problems at a generic sublinear rate of $\mathcal{O}(1/T)$, and it (or its variants) enjoys accelerated convergence rates for two fundamental classes of constraints:…
We consider a scalar objective minimization problem over the solution set of another optimization problem. This problem is known as simple bilevel optimization problem and has drawn a significant attention in the last few years. Our inner…
This paper considers the problem of smoothing convex functions and sets, seeking the nearest smooth convex function or set to a given one. For convex cones and sublinear functions, a full characterization of the set of all optimal…
Beginning with the projectively invariant method for linear programming, interior point methods have led to powerful algorithms for many difficult computing problems, in combinatorial optimization, logic, number theory and non-convex…
In this paper we analyze several new methods for solving nonconvex optimization problems with the objective function formed as a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known.…
In large-scale modern data analysis, first-order optimization methods are usually favored to obtain sparse estimators in high dimensions. This paper performs theoretical analysis of a class of iterative thresholding based estimators defined…
We develop an algorithmic theory of convex optimization over discrete sets. Using a combination of algebraic and geometric tools we are able to provide polynomial time algorithms for solving broad classes of convex combinatorial…
We propose an accelerated meta-algorithm, which allows to obtain accelerated methods for convex unconstrained minimization in different settings. As an application of the general scheme we propose nearly optimal methods for minimizing…
We introduce new global and local inexact oracle concepts for a wide class of convex functions in composite convex minimization. Such inexact oracles naturally come from primal-dual framework, barrier smoothing, inexact computations of…
In this paper, we address two main topics. First, we study the problem of minimizing the sum of a smooth function and the composition of a weakly convex function with a linear operator on a closed vector subspace. For this problem, we…
We present a scheme, based on Gilbert's algorithm for quadratic minimization [SIAM J. Contrl., vol. 4, pp. 61-80, 1966], to prove separation between a point and an arbitrary convex set $S\subset\mathbb{R}^{n}$ via calls to an oracle able to…
We consider the problem of minimizing a composite convex function with two different access methods: an oracle, for which we can evaluate the value and gradient, and a structured function, which we access only by solving a convex…
The minimization of convex functions which are only available through partial and noisy information is a key methodological problem in many disciplines. In this paper we consider convex optimization with noisy zero-th order information,…
We study projection-free optimization for convex objectives that satisfy abs-smoothness, a structural property that captures many non-smooth yet piecewise smooth functions arising, e.g., in modern machine learning models. We develop a…
Convex nonsmooth optimization problems, whose solutions live in very high dimensional spaces, have become ubiquitous. To solve them, the class of first-order algorithms known as proximal splitting algorithms is particularly adequate: they…
In this paper we study convex bi-level optimization problems for which the inner level consists of minimization of the sum of smooth and nonsmooth functions. The outer level aims at minimizing a smooth and strongly convex function over the…
Two optimization algorithms are proposed for solving a stochastic programming problem for which the objective function is given in the form of the expectation of convex functions and the constraint set is defined by the intersection of…