\(\) This paper focuses on decentralized stochastic bilevel optimization (DSBO) where agents only communicate with their neighbors. We propose Decentralized Stochastic Gradient Descent and Ascent with Gradient Tracking (DSGDA-GT), a novel algorithm that only requires first-order oracles that are much cheaper than second-order oracles widely adopted in existing works. We further provide a finite-time convergence … Read more
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Datasets collected for analysis often contain a certain amount of incomplete instances, where some feature values are missing. Since many statistical analyses and machine learning algorithms depend on complete datasets, missing values need to be imputed in advance. Bertsimas et al. (2018) proposed a high-performance method that combines machine learning and mathematical optimization algorithms for … Read more
\(\) We consider the theoretical computational complexity of finding locally optimal solutions to bilevel linear optimization problems (BLPs), from the leader’s perspective. We show that, for any constant \(c > 0\), the problem of finding a leader’s solution that is within Euclidean distance \(c^n\) of any locally optimal leader’s solution, where \(n\) is the total … Read more
An Inexact Alternating Direction Method of Multiplies (I-ADMM) with an expansion linesearch step was developed for solving a family of separable minimization problems subject to linear constraints, where the objective function is the sum of a smooth but possibly nonconvex function and a possibly nonsmooth nonconvex function. Global convergence and linear convergence rate of the … Read more
\(\) In this paper, we propose two regularized proximal quasi-Newton methods with symmetric rank-1 update of the metric (SR1 quasi-Newton) to solve non-smooth convex additive composite problems. Both algorithms avoid using line search or other trust region strategies. For each of them, we prove a super-linear convergence rate that is independent of the initialization of … Read more
We extend recent computer-assisted design and analysis techniques for first-order optimization over structured functions–known as performance estimation–to apply to structured sets. We prove “interpolation theorems” for smooth and strongly convex sets with Slater points and bounded diameter, showing a wide range of extremal questions amount to structured mathematical programs. Prior function interpolation theorems are recovered … Read more
Understanding the variation of the optimal value with respect to change in the data is an old problem of mathematical optimisation. This paper focuses on the linear problem f(λ) = min ctx such that (A+λD)x ≤ b, where λ is an unknown parameter that varies within an interval and D is a matrix modifying the … Read more
\(\) Stochastic approximation (SA) that involves multiple coupled sequences, known as multiple-sequence SA (MSSA), finds diverse applications in the fields of signal processing and machine learning. However, existing theoretical understandings of MSSA are limited: the multi-timescale analysis implies a slow convergence rate, whereas the single-timescale analysis relies on a stringent fixed point smoothness assumption. This … Read more
This paper revisits the generic structured primal-dual problem involving the infimal convolution in real Hilbert spaces. For this purpose, we develop a stochastic primal-dual splitting with variance reduction for solving this generic problem. Weak almost sure convergence of the iterates is proved. The linear convergence rate of the primal-dual gap is obtained under an additional … Read more