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Proximal splitting algorithms for monotone inclusions (and convex optimization problems) in Hilbert spaces share the common feature to guarantee for the generated sequences in general weak convergence to a solution. In order to achieve…
Given multiple non-convex objective functions and objective-specific weights, Chebyshev scalarization (CS) is a well-known approach to obtain an Exact Pareto Optimal (EPO), i.e., a solution on the Pareto front (PF) that intersects the ray…
An iterative optimization method applied to a function $f$ on $\mathbb{R}^n$ will produce a sequence of arguments $\{\mathbf{x}_k\}_{k \in \mathbb{N}}$; this sequence is often constrained such that $\{f(\mathbf{x}_k)\}_{k \in \mathbb{N}}$…
In this paper, we consider a multi-block generalized alternating direction method of multiplier (GADMM) algorithm for minimizing a linearly constrained separable nonconvex and possibly nonsmooth optimization problem. The GADMM generalizes…
In this paper, we consider a class of difference-of-convex (DC) optimization problems, which require only a weaker restricted $L$-smooth adaptable property on the smooth part of the objective function, instead of the standard global…
In this letter we study the proximal gradient dynamics. This recently-proposed continuous-time dynamics solves optimization problems whose cost functions are separable into a nonsmooth convex and a smooth component. First, we show that the…
The modified Cholesky decomposition is commonly used for precision matrix estimation given a specified order of random variables. However, the order of variables is often not available or cannot be pre-determined. In this work, we propose…
Overlap coincidence in a self-affine tiling in $\R^d$ is equivalent to pure point dynamical spectrum of the tiling dynamical system. We interpret the overlap coincidence in the setting of substitution Delone set in $\R^d$ and find an…
Multi-objective optimization is central to many engineering and machine learning applications, where multiple objectives must be optimized in balance. While multi-gradient based optimization methods combine these objectives in each step,…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
We consider the problem of learning an $\varepsilon$-optimal policy in a general class of continuous-space Markov decision processes (MDPs) having smooth Bellman operators. Given access to a generative model, we achieve rate-optimal sample…
Maximum diversity aims at selecting a diverse set of high-quality objects from a collection, which is a fundamental problem and has a wide range of applications, e.g., in Web search. Diversity under a uniform or partition matroid constraint…
The Polchinski version of the exact renormalisation group equations is applied to multicritical fixed points, which are present for dimensions between two and four, for scalar theories using both the local potential approximation and its…
Magnitude is an isometric invariant of metric spaces introduced by Leinster. Although magnitude is nowhere continuous on the Gromov-Hausdorff space of finite metric spaces, continuity results are possible if we restrict the ambient space.…
In this paper we introduce two novel generalizations of the theory for gradient descent type methods in the proximal setting. First, we introduce the proportion function, which we further use to analyze all known (and many new)…
In [Rank-Width and Well-Quasi-Ordering of Skew-Symmetric or Symmetric Matrices, arXiv:1007.3807v1] Oum proved that, for a fixed finite field $\mathbf{F}$, any infinite sequence $M_1,M_2,...$ of (skew) symmetric matrices over $\mathbf{F}$ of…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision making under uncertainty and as such constitute the theoretical…
We propose a convex-optimization-based framework for computation of invariant measures of polynomial dynamical systems and Markov processes, in discrete and continuous time. The set of all invariant measures is characterized as the feasible…
We introduce stronger notions for approximate single-source shortest-path distances, show how to efficiently compute them from weaker standard notions, and demonstrate the algorithmic power of these new notions and transformations. One…
We study the dynamic programming approach to revenue management in the context of attended home delivery. We draw on results from dynamic programming theory for Markov decision problems to show that the underlying Bellman operator has a…