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We propose an unconstrained optimization method based on the well-known primal-dual hybrid gradient (PDHG) algorithm. We first formulate the optimality condition of the unconstrained optimization problem as a saddle point problem. We then…
This paper is devoted to the study of acceleration methods for an inequality constrained convex optimization problem by using Lyapunov functions. We first approximate such a problem as an unconstrained optimization problem by employing the…
This paper first proposes an N-block PCPM algorithm to solve N-block convex optimization problems with both linear and nonlinear constraints, with global convergence established. A linear convergence rate under the strong second-order…
In this paper, we propose an improved numerical algorithm for solving minimax problems based on nonsmooth optimization, quadratic programming and iterative process. We also provide a rigorous proof of convergence for our algorithm under…
We investigate the convergence properties of a stochastic primal-dual splitting algorithm for solving structured monotone inclusions involving the sum of a cocoercive operator and a composite monotone operator. The proposed method is the…
We analyze stochastic algorithms for optimizing nonconvex, nonsmooth finite-sum problems, where the nonconvex part is smooth and the nonsmooth part is convex. Surprisingly, unlike the smooth case, our knowledge of this fundamental problem…
In this paper, we consider a class of nonconvex and nonsmooth fractional programming problems, that involve the sum of a convex, possibly nonsmooth function composed with a linear operator and a differentiable, possibly nonconvex function…
The paper considers the minimization of a separable convex function subject to linear ascending constraints. The problem arises as the core optimization in several resource allocation scenarios, and is a special case of an optimization of a…
In this paper, in the setting of Hilbert spaces, we consider a Tikhonov regularized second-order plus first-order primal-dual dynamical system with asymptotically vanishing damping for a linear equality constrained convex optimization…
This paper addresses a distributed convex optimization problem with a class of coupled constraints, which arise in a multi-agent system composed of multiple communities modeled by cliques. First, we propose a fully distributed…
This paper proposes novel primal-dual dynamical systems for solving linear equality constrained convex optimization. First, we introduce a primal-dual dynamical system with implicit Hessian damping, which can neutralize the transversal…
We study novel robust zero-order algorithms with acceleration for the solution of real-time optimization problems. In particular, we propose a family of extremum seeking dynamics that can be universally modeled as singularly perturbed…
We describe convergence acceleration schemes for multistep optimization algorithms. The extrapolated solution is written as a nonlinear average of the iterates produced by the original optimization method. Our analysis does not need the…
We develop a new consensus-based distributed algorithm for solving learning problems with feature partitioning and non-smooth convex objective functions. Such learning problems are not separable, i.e., the associated objective functions…
Two distributed algorithms are described that enable all users connected over a network to cooperatively solve the problem of minimizing the sum of all users' objective functions over the intersection of all users' constraint sets, where…
This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…
We study unconstrained optimization problems with nonsmooth and convex objective function in the form of a mathematical expectation. The proposed method approximates the expected objective function with a sample average function using…
High dimensional and/or nonconvex optimization remains a challenging and important problem across a wide range of fields, such as machine learning, data assimilation, and partial differential equation (PDE) constrained optimization. Here we…
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…
In this paper we present a variant of the proximal forward-backward splitting iteration for solving nonsmooth optimization problems in Hilbert spaces, when the objective function is the sum of two nondifferentiable convex functions. The…