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Optimizing smooth convex functions in stochastic settings, where only noisy estimates of gradients and Hessians are available, is a fundamental problem in optimization. While first-order methods possess a low per-iteration cost, their…

Second-order optimization methods are among the most widely used optimization approaches for convex optimization problems, and have recently been used to optimize non-convex optimization problems such as deep learning models. The widely…

The convergence behavior of gradient methods for minimizing convex differentiable functions is one of the core questions in convex optimization. This paper shows that their well-known complexities can be achieved under conditions weaker…

Bayesian optimization is a popular and versatile approach that is well suited to solve challenging optimization problems. Their popularity comes from their effective minimization of expensive function evaluations, their capability to…

It is well-known that accelerated gradient first order methods possess optimal complexity estimates for the class of convex smooth minimization problems. In many practical situations, it makes sense to work with inexact gradients. However,…

For linear time-invariant (LTI) systems, the design of an optimal controller is a commonly encountered problem in many applications. Among all the optimization approaches available, the linear quadratic regulator (LQR) methodology certainly…

Previous algorithms can solve convex-concave minimax problems $\min_{x \in \mathcal{X}} \max_{y \in \mathcal{Y}} f(x,y)$ with $\mathcal{O}(\epsilon^{-2/3})$ second-order oracle calls using Newton-type methods. This result has been…

This paper is devoted to the theoretical and numerical investigation of an augmented Lagrangian method for the solution of optimization problems with geometric constraints. Specifically, we study situations where parts of the constraints…

We propose DisGrem, a fully decentralized second-order method for convex consensus optimization over networks. Each agent solves a local Newton system with vanishing gradient-norm regularization and an eigenvalue-shift stabilizer,…

In this paper, we study second-order algorithms for solving nonconvex-strongly concave minimax problems, which have attracted much attention in recent years in many fields, especially in machine learning.We propose a gradient norm…

We study first-order methods (FOMs) for solving \emph{composite nonconvex nonsmooth} optimization with linear constraints. Recently, the lower complexity bounds of FOMs on finding an ($\varepsilon,\varepsilon$)-KKT point of the considered…

Stochastic optimization methods have become a class of popular optimization tools in machine learning. Especially, stochastic gradient descent (SGD) has been widely used for machine learning problems such as training neural networks due to…

This work proposes an accelerated first-order algorithm we call the Robust Momentum Method for optimizing smooth strongly convex functions. The algorithm has a single scalar parameter that can be tuned to trade off robustness to gradient…

It is well-known that given a smooth, bounded-from-below, and possibly nonconvex function, standard gradient-based methods can find $\epsilon$-stationary points (with gradient norm less than $\epsilon$) in $\mathcal{O}(1/\epsilon^2)$…

We present new algorithms for optimizing non-smooth, non-convex stochastic objectives based on a novel analysis technique. This improves the current best-known complexity for finding a $(\delta,\epsilon)$-stationary point from…

In this paper, we develop new first-order method for composite non-convex minimization problems with simple constraints and inexact oracle. The objective function is given as a sum of "`hard"', possibly non-convex part, and "`simple"'…

Gradient-based minimax optimal algorithms have greatly promoted the development of continuous optimization and machine learning. One seminal work due to Yurii Nesterov [Nes83a] established $\tilde{\mathcal{O}}(\sqrt{L/\mu})$ gradient…

First-order methods for stochastic optimization have undeniable relevance, in part due to their pivotal role in machine learning. Variance reduction for these algorithms has become an important research topic. In contrast to common…

Constrained non-convex optimization is fundamentally challenging, as global solutions are generally intractable and constraint qualifications may not hold. However, in many applications, including safe policy optimization in control and…

Our work focuses on stochastic gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer. Research on this class of problem is quite limited, and until recently no non-asymptotic convergence…