Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is an iterative scheme born from the adaptation of proximal point algorithm to nois…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
168,695 papers · 148 categories
Trend · papers per month
48 results for “proximal alternating linearized method”
In this paper, we consider the problem of minimizing the sum of two convex functions subject to linear linking constraints. The classical alternating direction type methods usually assume that the two convex functions have relatively easy proximal mappings. However, many problems arising from statistics, image processi…
The (global) Lipschitz smoothness condition is crucial in establishing the convergence theory for most optimization methods. Unfortunately, most machine learning and signal processing problems are not Lipschitz smooth. This motivates us to generalize the concept of Lipschitz smoothness condition to the relative smoothn…
In this paper, we investigate the attractive properties of the proximal gradient algorithm with inertia. Notably, we show that using alternated inertia yields monotonically decreasing functional values, which contrasts with usual accelerated proximal gradient methods. We also provide convergence rates for the algorithm…
New algorithm solves minimax games with linear constraints.
problem Nonconvex minimax games with coupled linear constraints.
method Primal-dual alternating proximal gradient (PDAPG) algorithm.
result Achieves ε-stationary solution within O(ε^(-2)) iterations for strongly concave settings.
Paper analyzes convergence of PAM method for low-rank factorization models.
problem Convergence analysis of PAM method with subspace correction for low-rank factorization models.
method Majorized proximal alternating minimization (PAM) method with subspace correction.
result Established full convergence of PAM method under KL property and column -norm condition.
Paper proposes a new method for sparse spectral clustering on Stiefel manifold.
problem Sparse spectral clustering on Stiefel manifold with nonsmooth and nonconvex objective.
method Proposes a manifold proximal linear method (ManPL) to solve the original SSC formulation.
result Demonstrates the advantage of ManPL over existing methods on single-cell RNA sequencing data.
New method uses zeroth-order queries to approximate proximal sampling efficiently.
problem Approximating proximal sampling with zeroth-order information.
method Direct simulation of heat flow dynamics, treating intermediate distribution as Gaussian mixture.
result Inherits exponential convergence under isoperimetric conditions, avoids rejection sampling.
Paper introduces SMM for forecasting multiple time series with missing values.
problem Forecasting multiple time series with missing and noisy values.
method Sliding Mask Method (SMM) using Non-negative Matrix Factorization (NMF).
result The method outperforms state-of-the-art methods in time series forecasting.
A New Inexact Proximal Linear Algorithm with Adaptive Stopping Criteria for Robust Phase Retrievalmath.OC
New algorithm solves phase retrieval with adaptive stopping criteria.
problem Robust phase retrieval problem as nonsmooth, nonconvex optimization.
method Inexact proximal linear algorithm with adaptive stopping criteria.
result Proposed methods are more efficient than existing methods.
New model approximates sparse mean-CVaR portfolio optimization efficiently.
problem NP-hard -constrained mean-CVaR optimization.
method Proximal alternating linearized minimization algorithm with nested fixed-point proximity.
result The model offers a guaranteed approximation of the -constrained mean-CVaR model.
We consider a proximal operator given by a quadratic function subject to bound constraints and give an optimization algorithm using the alternating direction method of multipliers (ADMM). The algorithm is particularly efficient to solve a collection of proximal operators that share the same quadratic form, or if the qu…
New algorithms accelerate model-based optimization for stochastic problems.
problem Optimizing model-based stochastic optimization problems efficiently.
method Proposed new model-based algorithms with acceleration and minibatch techniques.
result Non-asymptotic convergence guarantees with linear speedup in minibatch size.
Sparse coding consists in representing signals as sparse linear combinations of atoms selected from a dictionary. We consider an extension of this framework where the atoms are further assumed to be embedded in a tree. This is achieved using a recently introduced tree-structured sparse regularization norm, which has pr…
An inexact LPA for DC composite optimization and application to matrix completions with outliersmath.OC
Paper proposes iLPA for solving DC composite optimization problems, with applications to matrix completion with outliers.
problem Solving nonconvex and nonsmooth DC composite optimization problems.
method Inexact linearized proximal algorithm (iLPA) for DC composite optimization problems.
result The iLPA achieves local R-linear convergence rate under the Kurdyka-Łöjasiewicz property.
We consider the problem of minimizing the sum of a smooth function with a bounded Hessian, and a nonsmooth function. We assume that the latter function is a composition of a proper closed function and a surjective linear map , with the proximal mappings of , , simple to compute. This problem i…
In this paper, we study a simple iterative method for finding the Dantzig selector, which was designed for linear regression problems. The method consists of two main stages. The first stage is to approximate the Dantzig selector through a fixed-point formulation of solutions to the Dantzig selector problem. The second…
This paper converts ADMM to proximal gradient for efficient sparse estimation.
problem Sparse estimation problems like fused lasso and convex clustering.
method General method converting ADMM to proximal gradient, assuming Lipschitz continuity of derivative.
result Significant improvement in efficiency for sparse estimation problems.
Structural equation models (SEMs) have been widely adopted for inference of causal interactions in complex networks. Recent examples include unveiling topologies of hidden causal networks over which processes such as spreading diseases, or rumors propagate. The appeal of SEMs in these settings stems from their simplici…
A new method solves convex optimization problems on manifolds efficiently.
problem Optimization on Hadamard manifolds with convex objectives.
method Intrinsic Riemannian proximal gradient method.
result Sublinear and linear convergence rates for convex and strongly convex problems, respectively.
The paper analyzes convergence properties of NGA and PAMe for -norm PCA.
problem Finite-step convergence of -norm PCA algorithms.
method Conditional subgradient and alternating maximization interpretations of NGA, and PAMe with extrapolation.
result Iterative points of modified NGA and PAMe remain constant after finitely many steps under certain conditions.
Deep neural networks improve proximal inference for causal effects.
problem Estimating causal effects in the presence of unmeasured confounders.
method Flexible deep neural network to estimate the bridge function.
result Achieves state-of-the-art performance on benchmarks.
In this work, we highlight a connection between the incremental proximal method and stochastic filters. We begin by showing that the proximal operators coincide, and hence can be realized with, Bayes updates. We give the explicit form of the updates for the linear regression problem and show that there is a one-to-one …
Sparse principal component analysis (PCA) and sparse canonical correlation analysis (CCA) are two essential techniques from high-dimensional statistics and machine learning for analyzing large-scale data. Both problems can be formulated as an optimization problem with nonsmooth objective and nonconvex constraints. Sinc…
New algorithm solves -norm constrained multilinear logistic regression for tensor data.
problem Non-convex and nonsmooth -norm constraints in multilinear logistic regression.
method APALM method for globally convergent optimization.
result APALM ensures convergence to a first-order critical point.
Chandrasekaran, Parrilo and Willsky (2010) proposed a convex optimization problem to characterize graphical model selection in the presence of unobserved variables. This convex optimization problem aims to estimate an inverse covariance matrix that can be decomposed into a sparse matrix minus a low-rank matrix from sam…
Paper proposes a new method for supervised manifold learning using random forest proximities.
problem Existing supervised manifold learning methods fail to uncover meaningful embeddings due to using class-conditional distances.
method Proposes a data-geometry-preserving variant of random forest proximities as an initialization for manifold learning methods.
result Local and global structure preservation is near universal across manifold learning approaches using diffusion-based algorithms.
The Alternating Direction Method of Multipliers (ADMM) has been studied for years. The traditional ADMM algorithm needs to compute, at each iteration, an (empirical) expected loss function on all training examples, resulting in a computational complexity proportional to the number of training examples. To reduce the ti…
Paper tackles multivariate shape-constrained convex regression problems.
problem Fitting a convex function to data with component-wise monotonicity and uniform Lipschitz continuity.
method Least squares estimator via solving a constrained convex quadratic programming problem. Efficient algorithms designed: sGS-ADMM and pALM.
result Both proposed algorithms outperform state-of-the-art methods in numerical experiments.
Sparse Blind Source Separation (sparse BSS) is a key method to analyze multichannel data in fields ranging from medical imaging to astrophysics. However, since it relies on seeking the solution of a non-convex penalized matrix factorization problem, its performances largely depend on the optimization strategy. In this …
Paper examines convergence rate of PGD for BP objective in inverse problems.
problem Optimizing ill-posed linear inverse problems using BP vs LS.
method Analysis of PGD convergence rate for BP objective, comparison with proximal gradient method.
result PGD converges faster for BP objective due to inherent properties.
Graph embedding learns low-dimensional representations for nodes in a graph and effectively preserves the graph structure. Recently, a significant amount of progress has been made toward this emerging research area. However, there are several fundamental problems that remain open. First, existing methods fail to preser…
Matrix Factorization is a popular non-convex optimization problem, for which alternating minimization schemes are mostly used. They usually suffer from the major drawback that the solution is biased towards one of the optimization variables. A remedy is non-alternating schemes. However, due to a lack of Lipschitz conti…
Proximal Diffusion Models improve generative model efficiency.
problem Improving generative model efficiency and accuracy.
method Developed Proximal Diffusion Models using proximal maps instead of scores.
result Proximal Diffusion Models achieve faster convergence and higher accuracy.
In this paper we study nonconvex penalization using Bernstein functions whose first-order derivatives are completely monotone. The Bernstein function can induce a class of nonconvex penalty functions for high-dimensional sparse estimation problems. We derive a thresholding function based on the Bernstein penalty and di…
-norm constrained multi-block sparse canonical correlation analysis via proximal gradient descentstat.ME
New method finds linear relationships across multiple data blocks using proximal gradient descent with constraint.
problem Finding leading generalized eigenvectors for multi-block CCA.
method Proximal gradient descent with constraint.
result Rate-optimal solution under suitable assumptions.
Minimizing a function over an intersection of convex sets is an important task in optimization that is often much more challenging than minimizing it over each individual constraint set. While traditional methods such as Frank-Wolfe (FW) or proximal gradient descent assume access to a linear or quadratic oracle on the …
New sampling algorithm for non-smooth potentials.
problem Sampling from non-smooth potentials.
method Proximal algorithm based on rejection sampling.
result Achieves better complexity than existing methods.
In this paper, we extend the geometric descent method recently proposed by Bubeck, Lee and Singh to tackle nonsmooth and strongly convex composite problems. We prove that our proposed algorithm, dubbed geometric proximal gradient method (GeoPG), converges with a linear rate and thus achieves the optimal …
Online algorithm identifies PDEs from noisy data snapshots.
problem Identifying PDEs from sequential solution snapshots.
method Combines weak-form discretization with online proximal gradient descent.
result Efficiently identifies and tracks systems with time-varying coefficients.
A new algorithm speeds up convex clustering.
problem Optimizing clustering with convex optimization and avoiding local minima.
method Smoothing proximal gradient algorithm (Sproga) for convex clustering.
result Sproga is faster and uses less memory than existing methods.
The classical multi-set split feasibility problem seeks a point in the intersection of finitely many closed convex domain constraints, whose image under a linear mapping also lies in the intersection of finitely many closed convex range constraints. Split feasibility generalizes important inverse problems including con…
Paper proposes a new method to separate low rank and sparse matrices without bias.
problem Recovering low rank and sparse matrices from measurements.
method Uses nonconvex regularizers and alternating proximal gradient descent.
result Error bounds for the algorithm applied to sparse optimization, matrix completion, and robust PCA.
PAR provides a flexible framework for quantization in optimization problems.
problem Challenges in optimization problems over discrete or quantized variables.
method Piecewise-affine regularization (PAR) for modeling and computational optimization.
result PAR-regularized loss functions exhibit high quantization at critical points in the overparameterized regime.
RFX-Fuse combines Breiman and Cutler's Random Forest with modern ML capabilities.
problem Lack of a unified ML engine with diverse capabilities.
method Unified ML engine with native GPU/CPU support, delivering 5+ functionalities in one model.
result Native explainable similarity and imputation validation.
We propose a new proximal, path-following framework for a class of constrained convex problems. We consider settings where the nonlinear---and possibly non-smooth---objective part is endowed with a proximity operator, and the constraint set is equipped with a self-concordant barrier. Our approach relies on the followin…
Stochastic proximal point algorithm with momentum converges faster and is more stable than standard methods.
problem Improving convergence and stability of stochastic optimization methods.
method Developed and analyzed the convergence and stability of the stochastic proximal point algorithm with momentum (SPPAM).
result SPPAM converges faster and is more stable than standard stochastic proximal point algorithm (SPPA) and stochastic gradient descent with momentum (SGDM).
In this paper, we discuss the problem of minimizing the sum of two convex functions: a smooth function plus a non-smooth function. Further, the smooth part can be expressed by the average of a large number of smooth component functions, and the non-smooth part is equipped with a simple proximal mapping. We propose a pr…