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Here we study non-convex composite optimization: first, a finite-sum of smooth but non-convex functions, and second, a general function that admits a simple proximal mapping. Most research on stochastic methods for composite optimization…
In this paper, we study decentralized empirical risk minimization problems, where the goal is to minimize a finite-sum of smooth and strongly-convex functions available over a network of nodes. In this Part I, we propose…
We introduce a generic scheme to solve nonconvex optimization problems using gradient-based algorithms originally designed for minimizing convex functions. Even though these methods may originally require convexity to operate, the proposed…
We study the application of variance reduction (VR) techniques to general non-convex stochastic optimization problems. In this setting, the recent work STORM [Cutkosky-Orabona '19] overcomes the drawback of having to compute gradients of…
We consider the problem of maximizing the variance explained from a data matrix using orthogonal sparse principal components that have a support of fixed cardinality. While most existing methods focus on building principal components (PCs)…
The widespread adoption of on-board volumetric imaging in cancer radiotherapy has stimulated research efforts to develop online adaptive radiotherapy techniques to handle the inter-fraction variation of the patient's geometry. Such efforts…
Recently, research on accelerated stochastic gradient descent methods (e.g., SVRG) has made exciting progress (e.g., linear convergence for strongly convex problems). However, the best-known methods (e.g., Katyusha) requires at least two…
We propose a gradient-based method for quadratic programming problems with a single linear constraint and bounds on the variables. Inspired by the GPCG algorithm for bound-constrained convex quadratic programming [J.J. Mor\'e and G.…
Stochastic gradient descent (SGD) algorithm is an effective learning strategy to build a latent factor analysis (LFA) model on a high-dimensional and incomplete (HDI) matrix. A particle swarm optimization (PSO) algorithm is commonly adopted…
Randomized-subspace methods reduce the cost of first-order optimization by using only low-dimensional projected-gradient information, a feature that is attractive in forward-mode automatic differentiation and communication-limited settings.…
As the scales of data sets expand rapidly in some application scenarios, increasing efforts have been made to develop fast submodular maximization algorithms. This paper presents a currently the most efficient algorithm for maximizing…
Motivated by extreme multi-label classification applications, we consider training deep learning models over sparse data in multi-GPU servers. The variance in the number of non-zero features across training batches and the intrinsic GPU…
We consider the projected gradient algorithm for the nonconvex best subset selection problem that minimizes a given empirical loss function under an $\ell_0$-norm constraint. Through decomposing the feasible set of the given sparsity…
Maximum marginal likelihood estimation (MMLE) can be formulated as the optimization of a free energy functional. From this viewpoint, the Expectation-Maximisation (EM) algorithm admits a natural interpretation as a coordinate descent method…
This work proposes a space-time least-squares Petrov-Galerkin (ST-LSPG) projection method for model reduction of nonlinear dynamical systems. In contrast to typical nonlinear model-reduction methods that first apply (Petrov-)Galerkin…
We develop a GPU-accelerated dynamic programming (DP) method for valuing, operating, and bidding energy storage under multistage stochastic electricity prices. Motivated by computational limitations in existing models, we formulate DP…
We study nonconvex finite-sum problems and analyze stochastic variance reduced gradient (SVRG) methods for them. SVRG and related methods have recently surged into prominence for convex optimization given their edge over stochastic gradient…
This study presents an efficient field-programmable gate array (FPGA) implementation of a polynomial spline function-based statistical compression algorithm designed to address the critical challenge of massive data transfer bandwidth in…
While the advances in synchrotron light sources, together with the development of focusing optics and detectors, allow nanoscale ptychographic imaging of materials and biological specimens, the corresponding experiments can yield…
The non-convex $\alpha\|\cdot\|_{\ell_1}-\beta\| \cdot\|_{\ell_2}$ $(\alpha\ge\beta\geq0)$ regularization has attracted attention in the field of sparse recovery. One way to obtain a minimizer of this regularization is the…