Related papers: Hidden Convexity in Queueing Models

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

Constrained optimization problems where both the objective and constraints may be nonsmooth and nonconvex arise across many learning and data science settings. In this paper, we show for any Lipschitz, weakly convex objectives and…

In this paper we consider a nonconvex optimization problem with nonlinear equality constraints. We assume that both, the objective function and the functional constraints, are locally smooth. For solving this problem, we propose a…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

In heterogeneous networks, achieving congestion avoidance is difficult because the congestion feedback from one subnetwork may have no meaning to source on other other subnetworks. We propose using changes in round-trip delay as an implicit…

We study the random reshuffling (RR) method for smooth nonconvex optimization problems with a finite-sum structure. Though this method is widely utilized in practice such as the training of neural networks, its convergence behavior is only…

Classical global convergence results for first-order methods rely on uniform smoothness and the \L{}ojasiewicz inequality. Motivated by properties of objective functions that arise in machine learning, we propose a non-uniform refinement of…

This study develops a fixed-time convergent saddle point dynamical system for solving min-max problems under a relaxation of standard convexity-concavity assumption. In particular, it is shown that by leveraging the dynamical systems…

Cubic-regularized Newton's method (CR) is a popular algorithm that guarantees to produce a second-order stationary solution for solving nonconvex optimization problems. However, existing understandings of the convergence rate of CR are…

In this work, we consider constrained stochastic optimization problems under hidden convexity, i.e., those that admit a convex reformulation via non-linear (but invertible) map $c(\cdot)$. A number of non-convex problems ranging from…

This work extends the iterative framework proposed by Attouch et al. (in Math. Program. 137: 91-129, 2013) for minimizing a nonconvex and nonsmooth function $\Phi$ so that the generated sequence possesses a Q-superlinear convergence rate.…

We propose first order algorithms for convex optimization problems where the feasible set is described by a large number of convex inequalities that is to be explored by subgradient projections. The first algorithm is an adaptation of a…

First-order methods for solving convex optimization problems have been at the forefront of mathematical optimization in the last 20 years. The rapid development of this important class of algorithms is motivated by the success stories…

Non-convex optimal control problems occurring in, e.g., water or power systems, typically involve a large number of variables related through nonlinear equality constraints. The ideal goal is to find a globally optimal solution, and…

We study sets defined as the intersection of a rank-1 constraint with different choices of linear side constraints. We identify different conditions on the linear side constraints, under which the convex hull of the rank-1 set is polyhedral…

Robust control seeks stabilizing policies that perform reliably under adversarial disturbances, with $\mathcal{H}_\infty$ control as a classical formulation. It is known that policy optimization of robust $\mathcal{H}_\infty$ control…

Polyak-{\L}ojasiewicz (PL) [Polyak, 1963] condition is a weaker condition than the strong convexity but suffices to ensure a global convergence for the Gradient Descent algorithm. In this paper, we study the lower bound of algorithms using…

This paper explores a new class of constrained difference programming problems, where the objective and constraints are formulated as differences of functions, without requiring their convexity. To investigate such problems, novel variants…

This paper presents a fuzzy queuing location model for congested system. In a queuing system there are different criteria that are not constant such as service rate, service rate demand, queue length, the occupancy probability of a service…

The success of deep learning over the past decade mainly relies on gradient-based optimisation and backpropagation. This paper focuses on analysing the performance of first-order gradient-based optimisation algorithms, gradient descent and…