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Difference of convex (DC) functions cover a broad family of non-convex and possibly non-smooth and non-differentiable functions, and have wide applications in machine learning and statistics. Although deterministic algorithms for DC…
Random projection techniques based on Johnson-Lindenstrauss lemma are used for randomly aggregating the constraints or variables of optimization problems while approximately preserving their optimal values, that leads to smaller-scale…
This paper studies a type of rank-based mean field game in which competing agents strategically switch among multiple effort regimes. We propose an entropy regularized auxiliary problem where the switching decisions are randomized to the…
Estimation of convex functions finds broad applications in engineering and science, while convex shape constraint gives rise to numerous challenges in asymptotic performance analysis. This paper is devoted to minimax optimal estimation of…
To address computational challenges associated with power flow nonconvexities, significant research efforts over the last decade have developed convex relaxations and approximations of optimal power flow (OPF) problems. However, benefits…
To solve convex optimization problems with a noisy gradient input, we analyze the global behavior of subgradient-like flows under stochastic errors. The objective function is composite, being equal to the sum of two convex functions, one…
We develop an algorithmic framework for solving convex optimization problems using no-regret game dynamics. By converting the problem of minimizing a convex function into an auxiliary problem of solving a min-max game in a sequential…
We provide theoretical analysis of the statistical and computational properties of penalized $M$-estimators that can be formulated as the solution to a possibly nonconvex optimization problem. Many important estimators fall in this…
Functional constrained optimization is becoming more and more important in machine learning and operations research. Such problems have potential applications in risk-averse machine learning, semisupervised learning, and robust optimization…
Min-max optimization problems arise in several key machine learning setups, including adversarial learning and generative modeling. In their general form, in absence of convexity/concavity assumptions, finding pure equilibria of the…
Non-convex optimization problems can be approximately solved via relaxation or local algorithms. For many practical problems such as optimal power flow (OPF) problems, both approaches tend to succeed in the sense that relaxation is usually…
We investigate a class of nonconvex optimization problems characterized by a feasible set consisting of level-bounded nonconvex regularizers, with a continuously differentiable objective. We propose a novel hybrid approach to tackle such…
In this paper, we introduce a class of nonsmooth nonconvex least square optimization problem using convex analysis tools and we propose to use the iterative minimization-majorization (MM) algorithm on a convex set with initializer away from…
We analyze optimal transport problems with additional entropic cost evaluated along curves in the Wasserstein space which join two probability measures $m_0,m_1$. The effect of the additional entropy functional results into an elliptic…
We study the error introduced by entropy regularization in infinite-horizon discrete discounted Markov decision processes. We show that this error decreases exponentially in the inverse regularization strength, both in a weighted…
This paper proposes a precise signal recovery method with multilayered non-convex regularization, enhancing sparsity/low-rankness for high-dimensional signals including images and videos. In optimization-based signal recovery, multilayered…
In this paper, we propose a multilevel stochastic framework for the solution of nonconvex unconstrained optimization problems. The proposed approach uses random regularized first-order models that exploit an available hierarchical…
We address a large-scale and nonconvex optimization problem, involving an aggregative term. This term can be interpreted as the sum of the contributions of N agents to some common good, with N large. We investigate a relaxation of this…
Purpose: This is an attempt to better bridge the gap between the mathematical and the engineering/physical aspects of the topic. We trace the different sources of non-convexification in the context of topology optimization problems starting…
Learning effective regularization is crucial for solving ill-posed inverse problems, which arise in a wide range of scientific and engineering applications. While data-driven methods that parameterize regularizers using deep neural networks…