Related papers: Primal-Dual Methods for Nonsmooth Nonconvex Optimi…

We consider (stochastic) subgradient methods for strongly convex but potentially nonsmooth non-Lipschitz optimization. We provide new equivalent dual descriptions (in the style of dual averaging) for the classic subgradient method, the…

In this paper, we investigate a class of constrained saddle point (SP) problems where the objective function is nonconvex-concave and smooth. This class of problems has wide applicability in machine learning, including robust multi-class…

Many real-world problems not only have complicated nonconvex functional constraints but also use a large number of data points. This motivates the design of efficient stochastic methods on finite-sum or expectation constrained problems. In…

Stochastic nonconvex-concave min-max saddle point problems appear in many machine learning and control problems including distributionally robust optimization, generative adversarial networks, and adversarial learning. In this paper, we…

We propose a higher-order method for solving non-smooth optimization problems on manifolds. In order to obtain superlinear convergence, we apply a Riemannian Semi-smooth Newton method to a non-smooth non-linear primal-dual optimality system…

In this paper, we consider a nonsmooth convex finite-sum problem with a conic constraint. To overcome the challenge of projecting onto the constraint set and computing the full (sub)gradient, we introduce a primal-dual incremental gradient…

The augmented Lagrangian method (ALM) is one of the most useful methods for constrained optimization. Its convergence has been well established under convexity assumptions or smoothness assumptions, or under both assumptions. ALM may…

This note is concerned with the problem of minimizing a separable, convex, composite (smooth and nonsmooth) function subject to linear constraints. We study a randomized block-coordinate interpretation of the Chambolle-Pock primal-dual…

In this paper, a new variant of accelerated gradient descent is proposed. The pro-posed method does not require any information about the objective function, usesexact line search for the practical accelerations of convergence, converges…

This paper considers large scale constrained convex (possibly composite and non-separable) programs, which are usually difficult to solve by interior point methods or other Newton-type methods due to the non-smoothness or the prohibitive…

We develop a novel unified randomized block-coordinate primal-dual algorithm to solve a class of nonsmooth constrained convex optimization problems, which covers different existing variants and model settings from the literature. We prove…

Convex optimization is a well-established research area with applications in almost all fields. Over the decades, multiple approaches have been proposed to solve convex programs. The development of interior-point methods allowed solving a…

We introduce a novel approach addressing global analysis of a difficult class of nonconvex-nonsmooth optimization problems within the important framework of Lagrangian-based methods. This genuine nonlinear class captures many problems in…

This paper studies a stochastic algorithm for linearly constrained nonconvex optimization, where the objective function is smooth but only unbiased stochastic gradients with bounded variance are available. We propose a momentum-based…

In this paper, we study the local linear convergence properties of a versatile class of Primal-Dual splitting methods for minimizing composite non-smooth convex optimization problems. Under the assumption that the non-smooth components of…

We propose a variant of the classical augmented Lagrangian method for constrained optimization problems in Banach spaces. Our theoretical framework does not require any convexity or second-order assumptions and allows the treatment of…

For a class of nonsmooth composite optimization problems with linear equality constraints, we utilize a Lyapunov-based approach to establish the global exponential stability of the primal-dual gradient flow dynamics based on the proximal…

This paper develops the proximal method of multipliers for a class of nonsmooth convex optimization. The method generates a sequence of minimization problems (subproblems). We show that the sequence of approximations to the solutions of the…

In this paper, we present a stochastic augmented Lagrangian approach on (possibly infinite-dimensional) Riemannian manifolds to solve stochastic optimization problems with a finite number of deterministic constraints.We investigate the…

We propose a new randomized algorithm for solving convex optimization problems that have a large number of constraints (with high probability). Existing methods like interior-point or Newton-type algorithms are hard to apply to such…