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Simultaneous perturbation stochastic approximation (SPSA) is widely used in stochastic optimization due to its high efficiency, asymptotic stability, and reduced number of required loss function measurements. However, the standard SPSA…
Low-rank factorization is a standard way to make structured optimization problems in machine learning more tractable by replacing matrix variables with compact factors. For positive semidefinite (PSD) variables, the symmetric…
Sparse reconstruction approaches using the re-weighted l1-penalty have been shown, both empirically and theoretically, to provide a significant improvement in recovering sparse signals in comparison to the l1-relaxation. However, numerical…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
We consider a general decomposable convex optimization problem. By using right-hand side allocation technique, it can be transformed into a collection of small dimensional optimization problems. The master problem is a convex non-smooth…
In this work, we introduce a novel strategy for tackling constrained optimization problems through a modified penalty method. Conventional penalty methods convert constrained problems into unconstrained ones by incorporating constraints…
In this paper we consider sparse approximation problems, that is, general $l_0$ minimization problems with the $l_0$-"norm" of a vector being a part of constraints or objective function. In particular, we first study the first-order…
Binary optimization is a central problem in mathematical optimization and its applications are abundant. To solve this problem, we propose a new class of continuous optimization techniques which is based on Mathematical Programming with…
We propose a penalized likelihood framework for estimating multiple precision matrices from different classes. Most existing methods either incorporate no information on relationships between the precision matrices, or require this…
A new class of smooth exact penalty functions was recently introduced by Huyer and Neumaier. In this paper, we prove that the new smooth penalty function for a constrained optimization problem is exact if and only if the standard nonsmooth…
In this paper, we give a new penalized semidefinite programming approach for non-convex quadratically-constrained quadratic programs (QCQPs). We incorporate penalty terms into the objective of convex relaxations in order to retrieve…
This paper is concerned with optimal power flow (OPF), which is the problem of optimizing the transmission of electricity in power systems. Our main contributions are as follows: (i) we propose a novel parabolic relaxation, which transforms…
This article presents a mathematical analysis and numerical strategies for solving the optimization problem of minimizing the quadratic function $J(P) = \text{Tr}(BP)- \frac{1}{2} \text{Tr}(A P A P)$, where $A,B \in \mathbb R^{M \times…
We describe an apparatus for subgradient-following of the optimum of convex problems with variational penalties. In this setting, we receive a sequence $y_i,\ldots,y_n$ and seek a smooth sequence $x_1,\ldots,x_n$. The smooth sequence needs…
Location estimation is a central problem in functional data analysis. In this paper, we investigate penalized spline estimators of location for discretely sampled functional data under a broad class of convex loss functions. Our framework…
We consider the P1/P1 or P1b/P1 finite element approximations to the Stokes equations in a bounded smooth domain subject to the slip boundary condition. A penalty method is applied to address the essential boundary condition $u\cdot n = g$…
A framework is introduced for sequentially solving convex stochastic minimization problems, where the objective functions change slowly, in the sense that the distance between successive minimizers is bounded. The minimization problems are…
Recently, a lot of attention has been devoted to finding physically realisable operations that realise as closely as possible certain desired transformations between quantum states, e.g. quantum cloning, teleportation, quantum gates, etc.…
We consider the matrix completion problem where the aim is to esti-mate a large data matrix for which only a relatively small random subset of its entries is observed. Quite popular approaches to matrix completion problem are iterative…
In this paper, we focus on a class of constrained nonlinear optimization problems (NLP), where some of its equality constraints define a closed embedded submanifold $\mathcal{M}$ in $\mathbb{R}^n$. Although NLP can be solved directly by…