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Bayesian optimization (BO) has shown impressive results in a variety of applications within low-to-moderate dimensional Euclidean spaces. However, extending BO to high-dimensional settings remains a significant challenge. We address this…
This paper addresses the positive semi-definite procrustes problem (PSDP). The PSDP corresponds to a least squares problem over the set of symmetric and semi-definite positive matrices. These kinds of problems appear in many applications…
Bayesian Optimisation (BO) methods seek to find global optima of objective functions which are only available as a black-box or are expensive to evaluate. Such methods construct a surrogate model for the objective function, quantifying the…
In this paper, a modification to the Gradient Sampling (GS) method for minimizing nonsmooth nonconvex functions is presented. One drawback in GS method is the need of solving a Quadratic optimization Problem (QP) at each iteration, which is…
Gradient methods are widely used in optimization problems. In practice, while the smoothness parameter can be estimated utilizing techniques such as backtracking, estimating the strong convexity parameter remains a challenge; moreover, even…
Backtracking line-search is an old yet powerful strategy for finding a better step sizes to be used in proximal gradient algorithms. The main principle is to locally find a simple convex upper bound of the objective function, which in turn…
An effective numerical method is presented for optimizing model parameters that can be applied to any type of system of non-linear equations and any number of data-points, which does not require explicit formulation of the objective…
This paper presents a novel stochastic gradient descent algorithm for constrained optimization. The proposed algorithm randomly samples constraints and components of the finite sum objective function and relies on a relaxed logarithmic…
Block-coordinate descent (BCD) is a popular framework for large-scale regularized optimization problems with block-separable structure. Existing methods have several limitations. They often assume that subproblems can be solved exactly at…
In high-dimensional statistics, variable selection recovers the latent sparse patterns from all possible covariate combinations. This paper proposes a novel optimization method to solve the exact L0-regularized regression problem, which is…
In this paper we consider a linearized variable-time-step two-step backward differentiation formula (BDF2) scheme for solving nonlinear parabolic equations. The scheme is constructed by using the variable time-step BDF2 for the linear term…
We present a novel class of projected gradient (PG) methods for minimizing a smooth but not necessarily convex function over a convex compact set. We first provide a novel analysis of the constant-stepsize PG method, achieving the…
Many modern computer vision and machine learning applications rely on solving difficult optimization problems that involve non-differentiable objective functions and constraints. The alternating direction method of multipliers (ADMM) is a…
In this work, we propose a novel sampling method for Design of Experiments. This method allows to sample such input values of the parameters of a computational model for which the constructed surrogate model will have the least possible…
Image restoration is typically addressed through non-convex inverse problems, which are often solved using first-order block-wise splitting methods. In this paper, we consider a general type of non-convex optimisation model that captures…
Parameterized quantum circuits (PQCs) are ubiquitous in the design of hybrid quantum-classical algorithms. In this work, we propose an interpolation-based coordinate descent (ICD) method to address the parameter optimization problem in…
In this paper, we consider a class of nonsmooth nonconvex optimization problems whose objective is the sum of a block relative smooth function and a proper and lower semicontinuous block separable function. Although the analysis of block…
This article presents a novel resolution to the problem of spline interpolation versus least-squares fitting on smooth Riemannian manifolds utilizing the method of gradient flows of networks. This approach represents a contribution to both…
We consider the least-squares regression problem and provide a detailed asymptotic analysis of the performance of averaged constant-step-size stochastic gradient descent (a.k.a. least-mean-squares). In the strongly-convex case, we provide…
In this paper we consider large-scale composite optimization problems having the objective function formed as a sum of two terms (possibly nonconvex), one has (block) coordinate-wise Lipschitz continuous gradient and the other is…