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Hierarchical decision making problems, such as bilevel programs and Stackelberg games, are attracting increasing interest in both the engineering and machine learning communities. Yet, existing solution methods lack either convergence…
The recent promises of Model Predictive Control in robotics have motivated the development of tailored second-order methods to solve optimal control problems efficiently. While those methods benefit from strong convergence properties,…
Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The proposed scheme is very similar to the original multi-level Picard…
We consider the task of designing sparse control laws for large-scale systems by directly minimizing an infinite horizon quadratic cost with an $\ell_1$ penalty on the feedback controller gains. Our focus is on an improved algorithm that…
In this paper, we study an inexact steepest descent method, with Armijo's rule, for multicriteria optimization. The sequence generated by the method is guaranteed to be well-defined. Assuming quasi-convexity of the multicriteria function we…
The aim of this paper is to deepen the convergence analysis of the scaled gradient projection (SGP) method, proposed by Bonettini et al. in a recent paper for constrained smooth optimization. The main feature of SGP is the presence of a…
Gradient-based dimension reduction decreases the cost of Bayesian inference and probabilistic modeling by identifying maximally informative (and informed) low-dimensional projections of the data and parameters, allowing high-dimensional…
A major hurdle in machine learning is scalability to massive datasets. One approach to overcoming this is to distribute the computational tasks among several workers. \textit{Gradient coding} has been recently proposed in distributed…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
This paper addresses the computational challenges in reliability-based topology optimization (RBTO) of structures associated with the estimation of statistics of the objective and constraints using standard sampling methods, and overcomes…
In practice, optimization tasks have some structure that allows developing new algorithms for every problem with faster convergence rates. Using the structure of optimization tasks, we can propose algorithms with more optimistic convergence…
This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We employ Mirror Descent algorithms to determine the optimal risk…
In this paper, we propose a class of super-schemes for efficiently solving nonlinear unconstrained optimization problems. The proposed approach introduces two novel choices of step-size parameters, leading to efficient descent directions…
We introduce adaptive sampling methods for stochastic programs with deterministic constraints. First, we propose and analyze a variant of the stochastic projected gradient method where the sample size used to approximate the reduced…
We propose a new concept of a relatively inexact stochastic subgradient and present novel first-order methods that can use such objects to approximately solve convex optimization problems in relative scale. An important example where…
In the fields of control theory and machine learning, the dynamic low-rank approximation for large-scale matrices has received substantial attention. Considering large-scale semilinear stiff matrix differential equations, we propose…
Gradient coding is a coding theoretic framework to provide robustness against slow or unresponsive machines, known as stragglers, in distributed machine learning applications. Recently, Kadhe et al. proposed a gradient code based on a…
We present a systematic derivation of the algorithms required for computing the gradient and the action of the Hessian of an arbitrary misfit function for large-scale parameter estimation problems involving linear time-dependent PDEs with…