On self-concordant barriers for generalized power cones

In the study of interior-point methods for nonsymmetric conic optimization and their applications, Nesterov introduced the power cone, together with a 4-self-concordant barrier for it. In his PhD thesis, Chares found an improved 3-self-concordant barrier for the power cone. In addition, he introduced the generalized power cone, and conjectured a nearly optimal self-concordant barrier for … Read more

An optimal first order method based on optimal quadratic averaging

In a recent paper, Bubeck, Lee, and Singh introduced a new first order method for minimizing smooth strongly convex functions. Their geometric descent algorithm, largely inspired by the ellipsoid method, enjoys the optimal linear rate of convergence. Motivated by their work, we propose a close variant that iteratively maintains a quadratic global under-estimator of the … Read more

Level-set methods for convex optimization

Convex optimization problems arising in applications often have favorable objective functions and complicated constraints, thereby precluding first-order methods from being immediately applicable. We describe an approach that exchanges the roles of the objective and constraint functions, and instead approximately solves a sequence of parametric level-set problems. A zero-finding procedure, based on inexact function evaluations and … Read more