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In recent years, semidefinite relaxations of common optimization problems in robotics have attracted growing attention due to their ability to provide globally optimal solutions. In many cases, it was shown that specific handcrafted…
Convex relaxations of the AC Optimal Power Flow (OPF) problem are essential not only for identifying the globally optimal solution but also for enabling the use of OPF formulations in Bilevel Programming and Mathematical Programs with…
As application demands for online convex optimization accelerate, the need for designing new methods that simultaneously cover a large class of convex functions and impose the lowest possible regret is highly rising. Known online…
Optimization problems under affine constraints appear in various areas of machine learning. We consider the task of minimizing a smooth strongly convex function F(x) under the affine constraint Kx=b, with an oracle providing evaluations of…
A robust-to-dynamics optimization (RDO) problem is an optimization problem specified by two pieces of input: (i) a mathematical program (an objective function $f:\mathbb{R}^n\rightarrow\mathbb{R}$ and a feasible set…
We address the problem of optimal experimental design (OED) for Bayesian nonlinear inverse problems governed by PDEs. The goal is to find a placement of sensors, at which experimental data are collected, so as to minimize the uncertainty in…
Matrix factorization is a popular approach for large-scale matrix completion. The optimization formulation based on matrix factorization can be solved very efficiently by standard algorithms in practice. However, due to the non-convexity…
We consider the global optimization of nonconvex quadratic programs and mixed-integer quadratic programs. We present a family of convex quadratic relaxations which are derived by convexifying nonconvex quadratic functions through…
A tight continuous relaxation is a crucial factor in solving mixed integer formulations of many NP-hard combinatorial optimization problems. The (weighted) max $k$-cut problem is a fundamental combinatorial optimization problem with…
For many applications in signal processing and machine learning, we are tasked with minimizing a large sum of convex functions subject to a large number of convex constraints. In this paper, we devise a new random projection method (RPM) to…
We present an accelerated relax-and-round algorithm for concave coverage problems, which generalize the classic maximum coverage problem. Building on the relax-and-round framework of Barman et al. [STACS 2021], we propose two significant…
The performance of a constraint model can often be improved by converting a subproblem into a single table constraint (referred to as tabulation). Finding subproblems to tabulate is traditionally a manual and time-intensive process, even…
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal…
In exact sparse optimization problems on Rd (also known as sparsity constrained problems), one looks for solution that have few nonzero components. In this paper, we consider problems where sparsity is exactly measured either by the…
We study a class of algorithms for solving bilevel optimization problems in both stochastic and deterministic settings when the inner-level objective is strongly convex. Specifically, we consider algorithms based on inexact implicit…
We prove a general result demonstrating the power of Lagrangian relaxation in solving constrained maximization problems with arbitrary objective functions. This yields a unified approach for solving a wide class of {\em subset selection}…
We derive several numerical methods for designing optimized first-order algorithms in unconstrained convex optimization settings. Our methods are based on the Performance Estimation Problem (PEP) framework, which casts the worst-case…
Low-rank and nonsmooth matrix optimization problems capture many fundamental tasks in statistics and machine learning. While significant progress has been made in recent years in developing efficient methods for \textit{smooth} low-rank…
The graduated optimization approach, also known as the continuation method, is a popular heuristic to solving non-convex problems that has received renewed interest over the last decade. Despite its popularity, very little is known in terms…
This paper explores the role of regularization in data-driven predictive control (DDPC) through the lens of convex relaxation. Using a bi-level optimization framework, we model system identification as an inner problem and predictive…