Related papers: Computer-aided analyses of stochastic first-order …
We study the Inexact Restoration framework with random models for minimizing functions whose evaluation is subject to errors. We propose a constrained formulation that includes well-known stochastic problems and an algorithm applicable when…
This Ph.D. dissertation contains results in two different but related fields: the implementation of model predictive control (MPC) in embedded systems using first order methods, and restart schemes for accelerated first order methods…
We consider an unconstrained continuous optimization problem where, in each iteration, gradient estimates may be arbitrarily corrupted with a probability greater than 1/2. Additionally, function value estimates may exhibit heavy-tailed…
A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…
This paper proposes a neural stochastic optimization method for efficiently solving the two-stage stochastic unit commitment (2S-SUC) problem under high-dimensional uncertainty scenarios. The proposed method approximates the second-stage…
Systems involving Partial Differential Equations (PDEs) have recently become more popular among the machine learning community. However prior methods usually treat infinite dimensional problems in finite dimensions with Reduced Order…
Algorithms for bilevel optimization often encounter Hessian computations, which are prohibitive in high dimensions. While recent works offer first-order methods for unconstrained bilevel problems, the constrained setting remains relatively…
We propose a computational framework to quantify (measure) and to optimize the reliability of complex systems. The approach uses a graph representation of the system that is subject to random failures of its components (nodes and edges).…
We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance…
In this paper, we address the stochastic MPC (SMPC) problem for linear systems, subject to chance state constraints and hard input constraints, under unknown noise distribution. First, we reformulate the chance state constraints as…
A semidefinite program (SDP) is a particular kind of convex optimization problem with applications in operations research, combinatorial optimization, quantum information science, and beyond. In this work, we propose variational quantum…
We propose an extragradient method with stepsizes bounded away from zero for stochastic variational inequalities requiring only pseudo-monotonicity. We provide convergence and complexity analysis, allowing for an unbounded feasible set,…
It was recently established that for convex optimization problems with sparse optimal solutions (be it entry-wise sparsity or matrix rank-wise sparsity) it is possible to design first-order methods with linear convergence rates that depend…
This work examines the convergence of stochastic gradient-based optimization algorithms that use early stopping based on a validation function. The form of early stopping we consider is that optimization terminates when the norm of the…
In this paper, we study a stochastic strongly convex optimization problem and propose three classes of variable sample-size stochastic first-order methods including the standard stochastic gradient descent method, its accelerated variant,…
We consider large-scale Markov decision processes (MDPs) with an unknown cost function and employ stochastic convex optimization tools to address the problem of imitation learning, which consists of learning a policy from a finite set of…
In recent years, numerous vision and learning tasks have been (re)formulated as nonconvex and nonsmooth programmings(NNPs). Although some algorithms have been proposed for particular problems, designing fast and flexible optimization…
This paper proposes the first-ever algorithmic framework for tuning hyper-parameters of stochastic optimization algorithm based on reinforcement learning. Hyper-parameters impose significant influences on the performance of stochastic…
We here adapt an extended version of the adaptive cubic regularisation method with dynamic inexact Hessian information for nonconvex optimisation in [3] to the stochastic optimisation setting. While exact function evaluations are still…
This work develops a stochastic model predictive controller~(SMPC) for uncertain linear systems with additive Gaussian noise subject to state and control constraints. The proposed approach is based on the recently developed finite-horizon…