Related papers: Exploring an Alternative Line-Search Method for La…
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…
In this paper, we develop a variant of the well-known Gauss-Newton (GN) method to solve a class of nonconvex optimization problems involving low-rank matrix variables. As opposed to the standard GN method, our algorithm allows one to handle…
Machine learning problems such as neural network training, tensor decomposition, and matrix factorization, require local minimization of a nonconvex function. This local minimization is challenged by the presence of saddle points, of which…
The use of network Newton methods for the decentralized optimization of a sum cost distributed through agents of a network is considered. Network Newton methods reinterpret distributed gradient descent as a penalty method, observe that the…
Superlinear convergence has been an elusive goal for black-box nonsmooth optimization. Even in the convex case, the subgradient method is very slow, and while some cutting plane algorithms, including traditional bundle methods, are popular…
We study decentralized optimization over networks where agents cooperatively minimize a smooth (strongly) convex sum of local losses while communicating only with immediate neighbors. Prevailing decentralized methods require either…
Minimization methods that search along a curvilinear path composed of a non-ascent nega- tive curvature direction in addition to the direction of steepest descent, dating back to the late 1970s, have been an effective approach to finding a…
We consider the problem of efficiently computing the maximum likelihood estimator in Generalized Linear Models (GLMs) when the number of observations is much larger than the number of coefficients ($n \gg p \gg 1$). In this regime,…
This paper proposes and develops new linesearch methods with inexact gradient information for finding stationary points of nonconvex continuously differentiable functions on finite-dimensional spaces. Some abstract convergence results for a…
We revisit the linear search problem where a robot, initially placed at the origin on an infinite line, tries to locate a stationary target placed at an unknown position on the line. Unlike previous studies, in which the robot travels along…
Newton's method has been an important approach for solving variational inequalities, quasi-Newton method is a good alternative choice to save computational cost. In this paper, we propose a new method for solving monotone variational…
The sparse nonlinear programming (SNP) problem has wide applications in signal and image processing, machine learning, pattern recognition, finance and management, etc. However, the computational challenge posed by SNP has not yet been well…
We present FilterDDP, a differential dynamic programming algorithm for solving discrete-time, optimal control problems (OCPs) with nonlinear equality constraints. Unlike prior methods based on merit functions or the augmented Lagrangian…
In modern deep learning, highly subsampled stochastic approximation (SA) methods are preferred to sample average approximation (SAA) methods because of large data sets as well as generalization properties. Additionally, due to perceived…
We present a proximal augmented Lagrangian based solver for general convex quadratic programs (QPs), relying on semismooth Newton iterations with exact line search to solve the inner subproblems. The exact line search reduces in this case…
Consider composite nonconvex optimization problems where the objective function consists of a smooth nonconvex term (with Lipschitz-continuous gradient) and a convex (possibly nonsmooth) term. Existing parameter-free methods for such…
We consider the problem of minimizing a function, which is the sum of a linear function and a composition of a strongly convex function with a linear transformation, over a compact polyhedral set. Jaggi and Lacoste-Julien [14] showed that…
In this paper we present a novel quasi-Newton algorithm for use in stochastic optimisation. Quasi-Newton methods have had an enormous impact on deterministic optimisation problems because they afford rapid convergence and computationally…
Gradient descent and its variants are widely used in machine learning. However, oracle access of gradient may not be available in many applications, limiting the direct use of gradient descent. This paper proposes a method of estimating…
Nonlinear optimization methods are typically iterative and make use of gradient information to determine a direction of improvement and function information to effectively check for progress. When this information is corrupted by noise,…