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We develop a framework for convexifying a fairly general class of optimization problems. Under additional assumptions, we analyze the suboptimality of the solution to the convexified problem relative to the original nonconvex problem and…

We derive efficient algorithms to compute weakly Pareto optimal solutions for smooth, convex and unconstrained multiobjective optimization problems in general Hilbert spaces. To this end, we define a novel inertial gradient-like dynamical…

In this paper, we propose a self-triggered algorithm to solve a class of convex optimization problems with time-varying objective functions. It is known that the trajectory of the optimal solution can be asymptotically tracked by a…

In this work, we develop new optimization algorithms that use approximate second-order information combined with the gradient regularization technique to achieve fast global convergence rates for both convex and non-convex objectives. The…

In this paper, we study the stochastic convergence of regularized solutions for backward heat conduction problems. These problems are recognized as ill-posed due to the exponential decay of eigenvalues associated with the forward problems.…

In this paper, we present new second-order algorithms for composite convex optimization, called Contracting-domain Newton methods. These algorithms are affine-invariant and based on global second-order lower approximation for the smooth…

Asynchronous algorithms have attracted much attention recently due to the crucial demands on solving large-scale optimization problems. However, the accelerated versions of asynchronous algorithms are rarely studied. In this paper, we…

The Hessian-vector product has been utilized to find a second-order stationary solution with strong complexity guarantee (e.g., almost linear time complexity in the problem's dimensionality). In this paper, we propose to further reduce the…

We investigate the convergence theory of several known as well as new heuristic parameter choice rules for convex Tikhonov regularisation. The success of such methods is dependent on whether certain restrictions on the noise are satisfied.…

This article investigates the problem of controlling linear time-invariant systems subject to time-varying and a priori unknown cost functions, state and input constraints, and exogenous disturbances. We combine the online convex…

This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…

In this paper we consider convex optimization problems with stochastic composite objective function subject to (possibly) infinite intersection of constraints. The objective function is expressed in terms of expectation operator over a sum…

We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…

This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…

Mirror descent is a well established tool for solving convex optimization problems with convex constraints. This article introduces continuous-time mirror descent dynamics for approximating optimal Markov controls for stochastic control…

We study local complexity measures for stochastic convex optimization problems, providing a local minimax theory analogous to that of H\'{a}jek and Le Cam for classical statistical problems. We give complementary optimality results,…

This work proposes an accelerated first-order algorithm we call the Robust Momentum Method for optimizing smooth strongly convex functions. The algorithm has a single scalar parameter that can be tuned to trade off robustness to gradient…

In this paper, we study a speed restart scheme for an inertial system with Hessian-driven damping. We establish a linear convergence rate for the function values along the restarted trajectories without assuming the strong convexity of the…

Physical models often contain unknown functions and relations. In order to gain more insights into the nature of physical processes, these unknown functions have to be identified or reconstructed. Mathematically, we can formulate this…

This work investigates a dynamical system functioning as a nonsmooth adaptation of the continuous Newton method, aimed at minimizing the sum of a primal lower-regular and a locally Lipschitz function, both potentially nonsmooth. The…