Related papers: An adaptive ADMM with regularized spectral penalty…
This article presents a sparse, low-memory footprint optimization algorithm for the implementation of the model predictive control (MPC) for tracking formulation in embedded systems. This MPC formulation has several advantages over standard…
The Alternating Direction Method of Multipliers (ADMM) has been studied for years. The traditional ADMM algorithm needs to compute, at each iteration, an (empirical) expected loss function on all training examples, resulting in a…
Panel vector auto-regressive (VAR) models are widely used to capture the dynamics of multivariate time series across different subpopulations, where each subpopulation shares a common set of variables. In this work, we propose a panel VAR…
In this paper, elliptic control problems with pointwise box constraints on the state is considered, where the corresponding Lagrange multipliers in general only represent regular Borel measure functions. To tackle this difficulty, the…
PDE-constrained optimal control problems require regularisation to ensure well-posedness, introducing small perturbations that make the solutions challenging to approximate accurately. We propose a finite element approach that couples both…
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…
With the large rising of complex data, the nonconvex models such as nonconvex loss function and nonconvex regularizer are widely used in machine learning and pattern recognition. In this paper, we propose a class of mini-batch stochastic…
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms, where $1\leq q \leq 2$. A portfolio…
This paper is concerned with optimizing the global minimum-variance portfolio's (GMVP) weights in high-dimensional settings where both observation and population dimensions grow at a bounded ratio. Optimizing the GMVP weights is highly…
The primal-dual active set method is observed to be the limit of a sequence of penalty formulations. Using this perspective, we propose a penalty method that adaptively becomes the active set method as the residual of the iterate decreases.…
Beampattern synthesis is a key problem in many wireless applications. With the increasing scale of MIMO antenna array, it is highly desired to conduct beampattern synthesis on a sparse array to reduce the power and hardware cost. In this…
Parabolic optimal control problems with control constraints are generally challenging, from either theoretical analysis or algorithmic design perspectives. Conceptually, the well-known alternating direction method of multipliers (ADMM) can…
Recently, $L_1$ regularization have been attracted extensive attention and successfully applied in mean-variance portfolio selection for promoting out-of-sample properties and decreasing transaction costs. However, $L_1$ regularization…
In this paper, we propose an algorithmic framework, dubbed inertial alternating direction methods of multipliers (iADMM), for solving a class of nonconvex nonsmooth multiblock composite optimization problems with linear constraints. Our…
We study sparse signal recovery from noisy linear observations using nonconvex log-sum regularization. The log-sum penalty reduces the shrinkage bias of $\ell_1$ regularization and more closely approximates the $\ell_0$ regularization, but…
Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of these complex systems: 1. oversimplifying hypothesis; 2.…
When tuning software configuration for better performance (e.g., latency or throughput), an important issue that many optimizers face is the presence of local optimum traps, compounded by a highly rugged configuration landscape and…
Stratified models are models that depend in an arbitrary way on a set of selected categorical features, and depend linearly on the other features. In a basic and traditional formulation a separate model is fit for each value of the…
The Alternating Direction Method of Multipliers (ADMM) has been proved to be effective for solving separable convex optimization subject to linear constraints. In this paper, we propose a Generalized Symmetric ADMM (GS-ADMM), which updates…
It is often of interest to estimate regression functions non-parametrically. Penalized regression (PR) is one statistically-effective, well-studied solution to this problem. Unfortunately, in many cases, finding exact solutions to PR…