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Stochastic compositional optimization (SCO) has attracted considerable attention because of its broad applicability to important real-world problems. However, existing works on SCO assume that the projection within a solution update is…
Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
The combining of a General-Purpose Particle Swarm Optimizer (GP-PSO) with Sequential Quadratic Programming (SQP) algorithm for constrained optimization problems has been shown to be highly beneficial to the refinement, and in some cases,…
Mean-variance optimization (MVO) is known to be sensitive to estimation error in its inputs. Norm penalization of MVO programs is a regularization technique that can mitigate the adverse effects of estimation error. We augment the standard…
Given a graph with a source vertex $s$, the Single Source Replacement Paths (SSRP) problem is to compute, for every vertex $t$ and edge $e$, the length $d(s,t,e)$ of a shortest path from $s$ to $t$ that avoids $e$. A Single-Source Distance…
Non-commutative polynomial optimization (NPO) problems seek to minimize the state average of a polynomial of some operator variables, subject to polynomial constraints, over all states and operators, as well as the Hilbert spaces where…
Sparse matrix-vector multiplication (SpMV) is a crucial computing kernel with widespread applications in iterative algorithms. Over the past decades, research on SpMV optimization has made remarkable strides, giving rise to various…
While traditional distributionally robust optimization (DRO) aims to minimize the maximal risk over a set of distributions, Agarwal and Zhang (2022) recently proposed a variant that replaces risk with excess risk. Compared to DRO, the new…
This paper presents a methodology for using varying sample sizes in sequential quadratic programming (SQP) methods for solving equality constrained stochastic optimization problems. The first part of the paper deals with the delicate issue…
A semidefinite program (SDP) is a particular kind of convex optimization problem with applications in operations research, combinatorial optimization, quantum information science, and beyond. In this work, we propose variational quantum…
The area of topology optimization of continuum structures of which is allowed to change in order to improve the performance is now dominated by methods that employ the material distribution concept. The typical methods of the topology…
The Sum-of-Squares (SoS) hierarchy is a semi-definite programming meta-algorithm that captures state-of-the-art polynomial time guarantees for many optimization problems such as Max-$k$-CSPs and Tensor PCA. On the flip side, a SoS lower…
Support vector machines (SVMs) are well-studied supervised learning models for binary classification. In many applications, large amounts of samples can be cheaply and easily obtained. What is often a costly and error-prone process is to…
Optimizing large-scale nonconvex problems, common in deep learning, demands balancing rapid convergence with computational efficiency. First-order (FO) optimizers, which serve as today's baselines, provide fast convergence and good…
We study the differentially private Empirical Risk Minimization (ERM) and Stochastic Convex Optimization (SCO) problems for non-smooth convex functions. We get a (nearly) optimal bound on the excess empirical risk and excess population loss…
Quadratic programming is a ubiquitous prototype in convex programming. Many machine learning problems can be formulated as quadratic programming, including the famous Support Vector Machines (SVMs). Linear and kernel SVMs have been among…
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms, where $1\leq q \leq 2$. A portfolio…
We explore the impact of coarse quantization on matrix completion in the extreme scenario of dithered one-bit sensing, where the matrix entries are compared with time-varying threshold levels. In particular, instead of observing a subset of…
Frequency recovery/estimation from discrete samples of superimposed sinusoidal signals is a classic yet important problem in statistical signal processing. Its research has recently been advanced by atomic norm techniques which exploit…
The selection of Gaussian kernel parameters plays an important role in the applications of support vector classification (SVC). A commonly used method is the k-fold cross validation with grid search (CV), which is extremely time-consuming…