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We consider the projected gradient algorithm for the nonconvex best subset selection problem that minimizes a given empirical loss function under an $\ell_0$-norm constraint. Through decomposing the feasible set of the given sparsity…
We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic…
We propose a novel adaptive, accelerated algorithm for the stochastic constrained convex optimization setting. Our method, which is inspired by the Mirror-Prox method, \emph{simultaneously} achieves the optimal rates for smooth/non-smooth…
We survey incremental methods for minimizing a sum $\sum_{i=1}^mf_i(x)$ consisting of a large number of convex component functions $f_i$. Our methods consist of iterations applied to single components, and have proved very effective in…
We present a novel deep learning approach to approximate the solution of large, sparse, symmetric, positive-definite linear systems of equations. These systems arise from many problems in applied science, e.g., in numerical methods for…
We consider a class of nonsmooth fractional programming problems with fixed-point constraints, where the numerator is convex and the denominator is concave. To solve this problem, we propose splitting algorithms that compute subgradient…
This paper proposes the Proximal Iteratively REweighted (PIRE) algorithm for solving a general problem, which involves a large body of nonconvex sparse and structured sparse related problems. Comparing with previous iterative solvers for…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
We present a new feasible proximal gradient method for constrained optimization where both the objective and constraint functions are given by the summation of a smooth, possibly nonconvex function and a convex simple function. The…
This work proposes an implementable proximal-type method for a broad class of optimization problems involving nonsmooth and nonconvex objective and constraint functions. In contrast to existing methods that rely on an ad hoc model…
This paper reviews the gradient sampling methodology for solving nonsmooth, nonconvex optimization problems. An intuitively straightforward gradient sampling algorithm is stated and its convergence properties are summarized. Throughout this…
We study a version of the proximal gradient algorithm for which the gradient is intractable and is approximated by Monte Carlo methods (and in particular Markov Chain Monte Carlo). We derive conditions on the step size and the Monte Carlo…
In this paper, we develop a randomized algorithm and theory for learning a sparse model from large-scale and high-dimensional data, which is usually formulated as an empirical risk minimization problem with a sparsity-inducing regularizer.…
Approximations of optimization problems arise in computational procedures and sensitivity analysis. The resulting effect on solutions can be significant, with even small approximations of components of a problem translating into large…
In many learning settings, it is beneficial to augment the main features with pairwise interactions. Such interaction models can be often enhanced by performing variable selection under the so-called strong hierarchy constraint: an…
Optimization models with non-convex constraints arise in many tasks in machine learning, e.g., learning with fairness constraints or Neyman-Pearson classification with non-convex loss. Although many efficient methods have been developed…
In this paper we propose optimisation methods for variational regularisation problems based on discretising the inverse scale space flow with discrete gradient methods. Inverse scale space flow generalises gradient flows by incorporating a…
The incremental aggregated gradient algorithm is popular in network optimization and machine learning research. However, the current convergence results require the objective function to be strongly convex. And the existing convergence…
Sparse high dimensional graphical model selection is a popular topic in contemporary machine learning. To this end, various useful approaches have been proposed in the context of $\ell_1$-penalized estimation in the Gaussian framework.…
This paper deals with composite optimization problems having the objective function formed as the sum of two terms, one has Lipschitz continuous gradient along random subspaces and may be nonconvex and the second term is simple and…