Related papers: Adaptive primal dual hybrid gradient algorithms ba…
This paper aims to address distributed optimization problems over directed and time-varying networks, where the global objective function consists of a sum of locally accessible convex objective functions subject to a feasible set…
This paper proposes an adaptive primal-dual dynamics for distributed optimization in multi-agent systems. The proposed dynamics incorporates an adaptive synchronization law that reinforces the interconnection strength between the primal…
This paper explores the realm of infinite horizon average reward Constrained Markov Decision Processes (CMDPs). To the best of our knowledge, this work is the first to delve into the regret and constraint violation analysis of average…
Averaging scheme has attracted extensive attention in deep learning as well as traditional machine learning. It achieves theoretically optimal convergence and also improves the empirical model performance. However, there is still a lack of…
We provide new insight into a {\em generalized conditional subgradient} algorithm and a {\em generalized mirror descent} algorithm for the convex minimization problem \[ \min_x \; \{f(Ax) + h(x)\}.\] As Bach showed in [{\em SIAM J. Optim.},…
Douglas-Rachford splitting and its equivalent dual formulation ADMM are widely used iterative methods in composite optimization problems arising in control and machine learning applications. The performance of these algorithms depends on…
Policy gradient (PG) methods are a widely used reinforcement learning methodology in many applications such as video games, autonomous driving, and robotics. In spite of its empirical success, a rigorous understanding of the global…
We develop a novel randomised block coordinate primal-dual algorithm for a class of non-smooth ill-posed convex programs. Lying in the midway between the celebrated Chambolle-Pock primal-dual algorithm and Tseng's accelerated proximal…
The primal-dual column generation method (PDCGM) is a general-purpose column generation technique that relies on the primal-dual interior point method to solve the restricted master problems. The use of this interior point method variant…
We address the problem of finding the optimal policy of a constrained Markov decision process (CMDP) using a gradient descent-based algorithm. Previous results have shown that a primal-dual approach can achieve an $\mathcal{O}(1/\sqrt{T})$…
We develop two compression based stochastic gradient algorithms to solve a class of non-smooth strongly convex-strongly concave saddle-point problems in a decentralized setting (without a central server). Our first algorithm is a…
In this article we study a continuous Primal-Dual method proposed by Appleton and Talbot and generalize it to other problems in image processing. We interpret it as an Arrow-Hurwicz method which leads to a better description of the system…
In contrast with many other convex optimization classes, state-of-the-art semidefinite programming solvers are yet unable to efficiently solve large scale instances. This work aims to reduce this scalability gap by proposing a novel…
The rapid progress in GPU computing has revolutionized many fields, yet its potential in mathematical programming, such as linear programming (LP), has only recently begun to be realized. This survey aims to provide a comprehensive overview…
In this paper we propose an efficient distributed algorithm for solving loosely coupled convex optimization problems. The algorithm is based on a primal-dual interior-point method in which we use the alternating direction method of…
Hierarchical optimization refers to problems with interdependent decision variables and objectives, such as minimax and bilevel formulations. While various algorithms have been proposed, existing methods and analyses lack adaptivity in…
In this paper, we extend the inexact Uzawa algorithm in [Q. Hu, J. Zou, SIAM J. Matrix Anal., 23(2001), pp. 317-338] to the nonsymmetric generalized saddle point problem. The techniques used here are similar to those in [Bramble \emph{et…
In this paper, we consider a Model Predictive Control (MPC) problem of a continuous-time linear time-invariant system subject to continuous-time path constraints on the states and the inputs. By leveraging the concept of differential…
The primal-dual algorithm recently proposed by Chambolle & Pock (abbreviated as CPA) for structured convex optimization is very efficient and popular. It was shown by Chambolle & Pock in \cite{CP11} and also by Shefi & Teboulle in…
The Frank-Wolfe algorithm is a classic method for constrained optimization problems. It has recently been popular in many machine learning applications because its projection-free property leads to more efficient iterations. In this paper,…