smooth minimization

Smooth Optimization Approach for Covariance Selection

  • Zhaosong Lu
    • Categories Convex and Nonsmooth Optimization, Statistics Tags , ,

    In this paper we study a smooth optimization approach for solving a class of non-smooth {\it strongly} concave maximization problems. In particular, we apply Nesterov’s smooth optimization technique \cite{Nest83-1,Nest05-1} to their dual counterparts that are smooth convex problems. It is shown that the resulting approach has $\cO(1/{\sqrt{\epsilon}})$ iteration complexity for finding an $\epsilon$-optimal solution to … Read more

    Smooth minimization of two-stage stochastic linear programs

  • Shabbir Ahmed
    • Categories Nonsmooth Optimization, Stochastic Programming Tags ,

    This note presents an application of the smooth optimization technique of Nesterov for solving two-stage stochastic linear programs. It is shown that the original O(1/e) bound of Nesterov on the number of main iterations required to obtain an e-optimal solution is retained. CitationTechnical Report, School of Industrial & Systems Engineering, Georgia Institute of Technology, 2006.ArticleDownload … Read more