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The conditional gradient method (CGM) is widely used in large-scale sparse convex optimization, having a low per iteration computational cost for structured sparse regularizers and a greedy approach to collecting nonzeros. We explore the…

The stochastic gradient descent (SGD) method is a widely used approach for solving stochastic optimization problems, but its convergence is typically slow. Existing variance reduction techniques, such as SAGA, improve convergence by…

This paper studies a decentralized stochastic gradient tracking (DSGT) algorithm for non-convex empirical risk minimization problems over a peer-to-peer network of nodes, which is in sharp contrast to the existing DSGT only for convex…

This paper studies the parameter tuning problem of positive linear systems for optimizing their stability properties. We specifically show that, under certain regularity assumptions on the parametrization, the problem of finding the…

Many safety-critical systems must achieve high-level task specifications with guaranteed safety and correctness. Much recent progress towards this goal has been made through controller synthesis from signal temporal logic (STL)…

Minimax optimal convergence rates for classes of stochastic convex optimization problems are well characterized, where the majority of results utilize iterate averaged stochastic gradient descent (SGD) with polynomially decaying step sizes.…

Semidefinite programming (SDP) provides a principled framework for convex relaxations of nonconvex geometric constraints in motion planning, yet existing solvers are too computationally expensive for real-time control, particularly on…

We consider a degenerate nonsmooth and nonconvex optimization problem for which the standard constraint qualification such as the generalized Mangasarian Fromovitz constraint qualification (GMFCQ) may not hold. We use smoothing functions…

We provide the first theoretical analysis on the convergence rate of the asynchronous stochastic variance reduced gradient (SVRG) descent algorithm on non-convex optimization. Recent studies have shown that the asynchronous stochastic…

In this paper we propose a parallel coordinate descent algorithm for solving smooth convex optimization problems with separable constraints that may arise e.g. in distributed model predictive control (MPC) for linear network systems. Our…

Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…

We study to what extent may stochastic gradient descent (SGD) be understood as a "conventional" learning rule that achieves generalization performance by obtaining a good fit to training data. We consider the fundamental stochastic convex…

We introduce disciplined biconvex programming (DBCP), a modeling framework for specifying and solving biconvex optimization problems. Biconvex optimization problems arise in various applications, including machine learning, signal…

In this paper, we consider the problem of stochastic optimization, where the objective function is in terms of the expectation of a (possibly non-convex) cost function that is parametrized by a random variable. While the convergence speed…

By the asymptotic oracle property, non-convex penalties represented by minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) have attracted much attentions in high-dimensional data analysis, and have been widely used…

System Level Synthesis (SLS) parametrization facilitates controller synthesis for large, complex, and distributed systems by incorporating system level constraints (SLCs) into a convex SLS problem and mapping its solution to stable…

Stochastic gradient descent (SGD) algorithm and its variations have been effectively used to optimize neural network models. However, with the rapid growth of big data and deep learning, SGD is no longer the most suitable choice due to its…

Stochastic gradient descent (SGD) is an essential element in Machine Learning (ML) algorithms. Asynchronous parallel shared-memory SGD (AsyncSGD), including synchronization-free algorithms, e.g. HOGWILD!, have received interest in certain…

We propose a successive convex approximation based off-policy optimization (SCAOPO) algorithm to solve the general constrained reinforcement learning problem, which is formulated as a constrained Markov decision process (CMDP) in the…

Stochastic Constraint Programming (SCP) is an extension of Constraint Programming (CP) used for modelling and solving problems involving constraints and uncertainty. SCP inherits excellent modelling abilities and filtering algorithms from…