Shangzhi Zeng

Primal-Dual Hybrid Gradient Method for Distributionally Robust Optimization Problems

  • Yongchao Liu
  • Xiao-Ming Yuan
  • Shangzhi Zeng
  • Jin Zhang
    • Categories Robust Optimization Tags , , , ,

    We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primal-dual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition … Read more

    Convergence Analysis of ISTA and FISTA for “Strongly + Semi” Convex Programming

  • Ke Guo
  • Xiao-Ming Yuan
  • Shangzhi Zeng
    • Categories Convex Optimization Tags , , , , ,

    The iterative shrinkage/thresholding algorithm (ISTA) and its faster version FISTA have been widely used in the literature. In this paper, we consider general versions of the ISTA and FISTA in the more general “strongly + semi” convex setting, i.e., minimizing the sum of a strongly convex function and a semiconvex function; and conduct convergence analysis … Read more