Related papers: Generalized conditional gradient methods for multi…
In this study, we consider an optimization problem with uncertainty dependent on decision variables, which has recently attracted attention due to its importance in machine learning and pricing applications. In this problem, the gradient of…
The objectives of this technical report is to provide additional results on the generalized conditional gradient methods introduced by Bredies et al. [BLM05]. Indeed , when the objective function is smooth, we provide a novel certificate of…
Geometric programming problems occur frequently in engineering design and management. In multiobjective optimization, the trade-off information between different objective functions is probably the most important piece of information in a…
In this paper, we focus on simple bilevel optimization problems, where we minimize a convex smooth objective function over the optimal solution set of another convex smooth constrained optimization problem. We present a novel bilevel…
Minimization of a smooth function on a sphere or, more generally, on a smooth manifold, is the simplest non-convex optimization problem. It has a lot of applications. Our goal is to propose a version of the gradient projection algorithm for…
We consider the problem of minimizing a function, which is the sum of a linear function and a composition of a strongly convex function with a linear transformation, over a compact polyhedral set. Jaggi and Lacoste-Julien [14] showed that…
We investigate multi-stage demand uncertainty for the multi-item multi-echelon capacitated lot sizing problem with setup carry-over. Considering a multi-stage decision framework helps to quantify the benefits of being able to adapt…
The conjugate gradient method is a widely used algorithm for the numerical solution of a system of linear equations. It is particularly attractive because it allows one to take advantage of sparse matrices and produces (in case of infinite…
Composite convex optimization problems which include both a nonsmooth term and a low-rank promoting term have important applications in machine learning and signal processing, such as when one wishes to recover an unknown matrix that is…
We propose a new approach to solving bilevel optimization problems, intermediate between solving full-system optimality conditions with a Newton-type approach, and treating the inner problem as an implicit function. The overall idea is to…
Bilevel optimization has been developed for many machine learning tasks with large-scale and high-dimensional data. This paper considers a constrained bilevel optimization problem, where the lower-level optimization problem is convex with…
In this work we are interested in stochastic particle methods for multi-objective optimization. The problem is formulated using parametrized, single-objective sub-problems which are solved simultaneously. To this end a consensus based…
Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the…
Gradient matching is a promising tool for learning parameters and state dynamics of ordinary differential equations. It is a grid free inference approach, which, for fully observable systems is at times competitive with numerical…
High dimensional and/or nonconvex optimization remains a challenging and important problem across a wide range of fields, such as machine learning, data assimilation, and partial differential equation (PDE) constrained optimization. Here we…
In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and…
We study a class of optimization problems on Riemannian manifolds, where the objective function consists of a smooth term and quasi-norm type penalties with exponent $p \in (0, 1]$. The essential difficulty lies in the fact that the…
We analyze nonlinearly preconditioned gradient methods for solving smooth minimization problems. We introduce a generalized smoothness property, based on the notion of abstract convexity, that is broader than Lipschitz smoothness and…
Estimating hyperparameters has been a long-standing problem in machine learning. We consider the case where the task at hand is modeled as the solution to an optimization problem. Here the exact gradient with respect to the hyperparameters…
We consider simple bilevel optimization problems where the goal is to compute among the optimal solutions of a composite convex optimization problem, one that minimizes a secondary objective function. Our main contribution is threefold. (i)…