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Convex quadratic programs (QPs) constitute a fundamental computational primitive across diverse domains including financial optimization, control systems, and machine learning. The alternating direction method of multipliers (ADMM) has…
We employ chordal decomposition to reformulate a large and sparse semidefinite program (SDP), either in primal or dual standard form, into an equivalent SDP with smaller positive semidefinite (PSD) constraints. In contrast to previous…
We introduce an efficient first-order primal-dual method for the solution of nonsmooth PDE-constrained optimization problems. We achieve this efficiency through not solving the PDE or its linearisation on each iteration of the optimization…
We consider solving high-order semidefinite programming (SDP) relaxations of nonconvex polynomial optimization problems (POPs) that often admit degenerate rank-one optimal solutions. Instead of solving the SDP alone, we propose a new…
Kernel methods provide an elegant and principled approach to nonparametric learning, but so far could hardly be used in large scale problems, since na\"ive implementations scale poorly with data size. Recent advances have shown the benefits…
We study geometric duality for convex vector optimization problems. For a primal problem with a $q$-dimensional objective space, we formulate a dual problem with a $(q+1)$-dimensional objective space. Consequently, different from an…
We present a method for solving the general mixed constrained convex quadratic programming problem using an active set method on the dual problem. The approach is similar to existing active set methods, but we present a new way of solving…
Dynamic programming (DP) is a cornerstone of combinatorial optimization, yet its inherently sequential structure has long limited its scalability in scenario-based stochastic programming (SP). This paper introduces a GPU-accelerated…
Recent several years have witnessed the surge of asynchronous (async-) parallel computing methods due to the extremely big data involved in many modern applications and also the advancement of multi-core machines and computer clusters. In…
Algorithmic formulations of GPU programs provide a high-level alternative to device-specific code by expressing computations as compositions of well-defined parallel primitives (e.g., map, sort, reduce), rather than through handcrafted GPU…
Multi-objective verification problems of parametric Markov decision processes under optimality criteria can be naturally expressed as nonlinear programs. We observe that many of these computationally demanding problems belong to the…
Invex programs are a special kind of non-convex problems which attain global minima at every stationary point. While classical first-order gradient descent methods can solve them, they converge very slowly. In this paper, we propose new…
The ability of Gaussian processes (GPs) to predict the behavior of dynamical systems as a more sample-efficient alternative to parametric models seems promising for real-world robotics research. However, the computational complexity of GPs…
Sparse tensors are prevalent in real-world applications, often characterized by their large-scale, high-order, and high-dimensional nature. Directly handling raw tensors is impractical due to the significant memory and computational…
We present SuperSCS: a fast and accurate method for solving large-scale convex conic problems. SuperSCS combines the SuperMann algorithmic framework with the Douglas-Rachford splitting which is applied on the homogeneous self-dual embedding…
Sequential convex programming has been established as an effective framework for solving nonconvex trajectory planning problems. However, its performance is highly sensitive to problem parameters, including trajectory variables, algorithmic…
Primal-dual algorithms for the resolution of convex-concave saddle point problems usually come with one or several step size parameters. Within the range where convergence is guaranteed, choosing well the step size can make the difference…
Parallel computing can offer an enormous advantage regarding the performance for very large applications in almost any field: scientific computing, computer vision, databases, data mining, and economics. GPUs are high performance many-core…
We are interested in solving linear systems arising from three applications: (1) kernel methods in machine learning, (2) discretization of boundary integral equations from mathematical physics, and (3) Schur complements formed in the…
In this paper a robust second-order method is developed for the solution of strongly convex l1-regularized problems. The main aim is to make the proposed method as inexpensive as possible, while even difficult problems can be efficiently…