相关论文: Recursive Optimization of Convex Risk Measures: Me…

In this manuscript, we analyze the sparse signal recovery (compressive sensing) problem from the perspective of convex optimization by stochastic proximal gradient descent. This view allows us to significantly simplify the recovery analysis…

Constrained quasiconvex optimization problems appear in many fields, such as economics, engineering, and management science. In particular, fractional programming, which models ratio indicators such as the profit/cost ratio as fractional…

In this paper we analyze several new methods for solving nonconvex optimization problems with the objective function formed as a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known.…

We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…

We develop multi-step gradient methods for network-constrained optimization of strongly convex functions with Lipschitz-continuous gradients. Given the topology of the underlying network and bounds on the Hessian of the objective function,…

We introduce a machine-learning framework to learn the hyperparameter sequence of first-order methods (e.g., the step sizes in gradient descent) to quickly solve parametric convex optimization problems. Our computational architecture…

The choice of the stepsize in first-order convex optimization is typically based on the smoothness constant and plays a crucial role in the performance of algorithms. Recently, there has been a resurgent interest in introducing adaptive…

We consider a composite convex minimization problem associated with regularized empirical risk minimization, which often arises in machine learning. We propose two new stochastic gradient methods that are based on stochastic dual averaging…

The study of convex optimization has historically been concerned with worst-case convergence rates. The development of the Optimized Gradient Method (OGM), due to \citet{drori2012PerformanceOF,Kim2016optimal}, marked a major milestone in…

Optimization over the Stiefel manifold is a fundamental computational problem in many scientific and engineering applications. Despite considerable research effort, high-dimensional optimization problems over the Stiefel manifold remain…

The recently introduced Gradient Methods with Memory use a subset of the past oracle information to create an accurate model of the objective function that enables them to surpass the Gradient Method in practical performance. The model…

Message passing algorithms, whose iterative nature captures well complicated interactions among interconnected variables in complex systems and extracts information from the fixed point of iterated messages, provide a powerful toolkit in…

Algorithmic reproducibility measures the deviation in outputs of machine learning algorithms upon minor changes in the training process. Previous work suggests that first-order methods would need to trade-off convergence rate (gradient…

We develop a machine-learning framework to learn hyperparameter sequences for accelerated first-order methods (e.g., the step size and momentum sequences in accelerated gradient descent) to quickly solve parametric convex optimization…

We present an adaptive step-size method, which does not include line-search techniques, for solving a wide class of nonconvex multiobjective programming problems on an unbounded constraint set. We also prove convergence of a general…

We present a unified technique for sequential estimation of convex divergences between distributions, including integral probability metrics like the kernel maximum mean discrepancy, $\varphi$-divergences like the Kullback-Leibler…

We establish the O($\frac{1}{k}$) convergence rate for distributed stochastic gradient methods that operate over strongly convex costs and random networks. The considered class of methods is standard each node performs a weighted average of…

For solving a broad class of nonconvex programming problems on an unbounded constraint set, we provide a self-adaptive step-size strategy that does not include line-search techniques and establishes the convergence of a generic approach…

We study finite-sum nonconvex optimization problems, where the objective function is an average of $n$ nonconvex functions. We propose a new stochastic gradient descent algorithm based on nested variance reduction. Compared with…

Maximum a posteriori (MAP) inference is a fundamental computational paradigm for statistical inference. In the setting of graphical models, MAP inference entails solving a combinatorial optimization problem to find the most likely…