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For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…
We present and analyze a simple, two-step algorithm to approximate the optimal solution of the sparse PCA problem. Our approach first solves a L1 penalized version of the NP-hard sparse PCA optimization problem and then uses a randomized…
In this paper, we consider nonlinear optimization problems with a stochastic objective function and deterministic equality constraints. We propose an inexact two-stepsize stochastic sequential quadratic programming (SQP) algorithm and…
The paper derives and analyses the (semi-)discrete dispersion relation of the Parareal parallel-in-time integration method. It investigates Parareal's wave propagation characteristics with the aim to better understand what causes the well…
2-Opt is probably the most basic local search heuristic for the TSP. This heuristic achieves amazingly good results on real world Euclidean instances both with respect to running time and approximation ratio. There are numerous experimental…
For a graph G=(V,E), finding a set of disjoint edges that do not share any vertices is called a matching problem, and finding the maximum matching is a fundamental problem in the theory of distributed graph algorithms. Although local…
Gaussian belief propagation (GaBP) is an iterative message-passing algorithm for inference in Gaussian graphical models. It is known that when GaBP converges it converges to the correct MAP estimate of the Gaussian random vector and simple…
For a given graph $G$ with positive integral cost and delay on edges, distinct vertices $s$ and $t$, cost bound $C\in Z^{+}$ and delay bound $D\in Z^{+}$, the $k$ bi-constraint path ($k$BCP) problem is to compute $k$ disjoint $st$-paths…
Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs. Their integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error…
Time-parallel algorithms, such as Parareal, are well-understood for linear problems, but their convergence analysis for nonlinear, chaotic systems remains limited. This paper introduces a new theoretical framework for analysing…
High-dimensional linear regression under heavy-tailed noise or outlier corruption is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs,…
We present a new approximation algorithm for the minimum 2-edge-connected spanning subgraph problem. Its approximation ratio is $\frac{4}{3}$, which matches the current best ratio. The approximation ratio of the algorithm is $\frac{6}{5}$…
The first aim of this paper is to establish the weak convergence rate of nonlinear two-time-scale stochastic approximation algorithms. Its second aim is to introduce the averaging principle in the context of two-time-scale stochastic…
In this paper, a distributed stochastic approximation algorithm is studied. Applications of such algorithms include decentralized estimation, optimization, control or computing. The algorithm consists in two steps: a local step, where each…
We introduce a new procedure to select the optimal cutoff parameter for Fourier density estimators that leads to adaptive rate optimal estimators, up to a logarithmic factor. This adaptive procedure applies for different inverse problems.…
This paper investigates convex quadratic optimization problems involving $n$ indicator variables, each associated with a continuous variable, particularly focusing on scenarios where the matrix $Q$ defining the quadratic term is positive…
Propagation of linear constraints has become a crucial sub-routine in modern Mixed-Integer Programming (MIP) solvers. In practice, iterative algorithms with tolerance-based stopping criteria are used to avoid problems with slow or infinite…
Pseudo-arclength continuation is a well-established method for generating a numerical curve approximating the solution of an underdetermined system of nonlinear equations. It is an inherently sequential predictor-corrector method in which…
In this paper, we study a variant of the quadratic penalty method for linearly constrained convex problems, which has already been widely used but actually lacks theoretical justification. Namely, the penalty parameter steadily increases…
We propose an algorithm for generating explicit solutions of multiparametric mixed-integer convex programs to within a given suboptimality tolerance. The algorithm is applicable to a very general class of optimization problems, but is most…