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Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…
This paper presents a model-free reinforcement learning (RL) algorithm to solve the risk-averse optimal control (RAOC) problem for discrete-time nonlinear systems. While successful RL algorithms have been presented to learn optimal control…
We propose a unifying framework for smoothed analysis of combinatorial local optimization problems, and show how a diverse selection of problems within the complexity class PLS can be cast within this model. This abstraction allows us to…
The challenge of optimal Routing and Spectrum Assignment (RSA) is significant in Elastic Optical Networks. Integrating adaptive modulation formats into the RSA problem - Routing, Modulation Level, and Spectrum Assignment - broadens…
In this paper, we propose a unified two-phase scheme to accelerate any high-order regularized tensor approximation approach on the smooth part of a composite convex optimization model. The proposed scheme has the advantage of not needing to…
In this paper, we consider an unconstrained optimization model where the objective is a sum of a large number of possibly nonconvex functions, though overall the objective is assumed to be smooth and convex. Our bid to solving such model…
A fully stochastic second-order adaptive-regularization method for unconstrained nonconvex optimization is presented which never computes the objective-function value, but yet achieves the optimal $\mathcal{O}(\epsilon^{-3/2})$ complexity…
This paper considers unconstrained convex optimization problems with time-varying objective functions. We propose algorithms with a discrete time-sampling scheme to find and track the solution trajectory based on prediction and correction…
We focus on analyzing the classical stochastic projected gradient methods under a general dependent data sampling scheme for constrained smooth nonconvex optimization. We show the worst-case rate of convergence $\tilde{O}(t^{-1/4})$ and…
Algorithms for bandit convex optimization and online learning often rely on constructing noisy gradient estimates, which are then used in appropriately adjusted first-order algorithms, replacing actual gradients. Depending on the properties…
We study the Regularized A-optimal Design (RAOD) problem, which selects a subset of $k$ experiments to minimize the inverse of the Fisher information matrix, regularized with a scaled identity matrix. RAOD has broad applications in Bayesian…
Anticipating the low energy arrangements of atoms in space is an indispensable scientific task. Modern stochastic approaches to searching for these configurations depend on the optimisation of structures to nearby local minima in the energy…
Ensuring reliability in modern software systems requires rigorous pre-production testing across highly heterogeneous and evolving environments. Because exhaustive evaluation is infeasible, practitioners must decide how to allocate limited…
We consider an unconstrained problem of minimizing a smooth convex function which is only available through noisy observations of its values, the noise consisting of two parts. Similar to stochastic optimization problems, the first part is…
We give nearly matching upper and lower bounds on the oracle complexity of finding $\epsilon$-stationary points ($\| \nabla F(x) \| \leq\epsilon$) in stochastic convex optimization. We jointly analyze the oracle complexity in both the local…
We propose a novel stochastic smoothing accelerated gradient (SSAG) method for general constrained nonsmooth convex composite optimization, and analyze the convergence rates. The SSAG method allows various smoothing techniques, and can deal…
As search depth increases in autonomous reasoning and embodied planning, candidate action spaces expand exponentially, often exhausting computational budgets. While heuristic pruning is a critical countermeasure, existing approaches lack…
Adaptive gradient methods, such as AdaGrad, are among the most successful optimization algorithms for neural network training. While these methods are known to achieve better dimensional dependence than stochastic gradient descent (SGD) for…
For systems with uncertain linear models, bounded additive disturbances and state and control constraints, a robust model predictive control algorithm incorporating online model adaptation is proposed. Sets of model parameters are…
Gradient methods are widely used in optimization problems. In practice, while the smoothness parameter can be estimated utilizing techniques such as backtracking, estimating the strong convexity parameter remains a challenge; moreover, even…