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In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first derive an explicit representation of the first variation process (in the Sobolev sense) of the controlled diffusion. Since the drift coefficient is not smooth, the representation is given in terms of the local time of the state process. Then we construct a sequence of optimal control problems with smooth coefficients by an approximation argument. Finally, we use Ekeland’s variational principle to obtain an approximating adjoint process from which we derive the maximum principle by passing to the limit. The work is notably motivated by the optimal consumption problem of investors paying wealth tax.

In this article, we consider the motion planning of a rigid object on the unit sphere with a unit speed. The motion of the object is constrained by the maximum absolute value, $U_{max}$ of geodesic curvature of its path; this constrains the object to change the heading at the fastest rate only when traveling on a tight smaller circular arc of radius $r \frac{1}{2}$, while paths of the above type may cease to exist depending on the boundary conditions and the value of $r$, optimal paths may be concatenations of more than three circular arcs.

In this paper, we propose a variance-reduced primal-dual algorithm with Bregman distance for solving convex-concave saddle-point problems with finite-sum structure and nonbilinear coupling function. This type of problems typically arises in machine learning and game theory. Based on some standard assumptions, the algorithm is proved to converge with oracle complexity of $O\left(\frac{\sqrt n}{\epsilon}\right)$ and $O\left(\frac{n}{\sqrt \epsilon}+\frac{1}{\epsilon^{1.5}}\right)$ using constant and non-constant parameters, respectively where $n$ is the number of function components. Compared with existing methods, our framework yields a significant improvement over the number of required primal-dual gradient samples to achieve $\epsilon$-accuracy of the primal-dual gap. We tested our method for solving a distributionally robust optimization problem to show the effectiveness of the algorithm.

We consider the problem of computing the \emph{distance-based representative skyline} in the plane, a problem introduced by Tao, Ding, Lin and Pei [Proc. 25th IEEE International Conference on Data Engineering (ICDE), 2009] and independently considered by Dupin, Nielsen and Talbi [Optimization and Learning - Third International Conference, OLA 2020] in the context of multi-objective optimization. Given a set $P$ of $n$ points in the plane and a parameter $k$, the task is to select $k$ points of the skyline defined by $P$ (also known as Pareto front for $P$) to minimize the maximum distance from the points of the skyline to the selected points. We show that the problem can be solved in $O(n\log h)$ time, where $h$ is the number of points in the skyline of $P$. We also show that the decision problem can be solved in $O(n\log k)$ time and the optimization problem can be solved in $O(n \log k + n \operatorname{loglog} n)$ time. This improves previous algorithms and is optimal for a large range of values of $k$., 25 pages

We consider unconstrained stochastic optimization problems with no available gradient information. Such problems arise in settings from derivative-free simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients of a stochastic function using finite differences within a common random number framework. We develop modified versions of a norm test and an inner product quasi-Newton test to control the sample sizes used in the stochastic approximations and provide global convergence results to the neighborhood of the optimal solution. We present numerical experiments on simulation optimization problems to illustrate the performance of the proposed algorithm. When compared with classical zeroth-order stochastic gradient methods, we observe that our strategies of adapting the sample sizes significantly improve performance in terms of the number of stochastic function evaluations required.

This paper proposes and analyzes an accelerated inexact dampened augmented Lagrangian (AIDAL) method for solving linearly-constrained nonconvex composite optimization problems. Each iteration of the AIDAL method consists of: (i) inexactly solving a dampened proximal augmented Lagrangian (AL) subproblem by calling an accelerated composite gradient (ACG) subroutine; (ii) applying a dampened and under-relaxed Lagrange multiplier update; and (iii) using a novel test to check whether the penalty parameter of the AL function should be increased. Under several mild assumptions involving the dampening factor and the under-relaxation constant, it is shown that the AIDAL method generates an approximate stationary point of the constrained problem in ${\cal O}(\varepsilon^{-5/2}\log\varepsilon^{-1})$ iterations of the ACG subroutine, for a given tolerance $\varepsilon>0$. Numerical experiments are also given to show the computational efficiency of the proposed method.

We introduce a class of specially structured linear programming (LP) problems, which has favorable modeling capability for important application problems in different areas such as optimal transport, discrete tomography and economics. To solve these generally large-scale LP problems efficiently, we design an implementable inexact entropic proximal point algorithm (iEPPA) combined with an easy-to-implement dual block coordinate descent method as a subsolver. Unlike existing entropy-type proximal point algorithms, our iEPPA employs a more practically checkable stopping condition for solving the associated subproblems while achieving provable convergence. Moreover, when solving the capacity constrained multi-marginal optimal transport (CMOT) problem (a special case of our LP problem), our iEPPA is able to bypass the underlying numerical instability issues that often appear in the popular entropic regularization approach, since our algorithm does not require the proximal parameter to be very small in order to obtain an accurate approximate solution. Numerous numerical experiments show that our iEPPA is efficient and robust for solving large-scale CMOT problems. The experiments on the discrete tomography problem also highlight the potential modeling power of our model., 28 pages, 6 figures

In this paper, construction of a neural-network based, closed-loop control of a discontinuous capsule drive is analyzed. The foundation of the designed controller is an optimized open-loop control function. A neural network is used to determine the dependence between the open-loop controller's output and the system's state. Robustness of the neural controller with respect to variation of parameters of the controlled system is analyzed and compared with the original, optimized open-loop control. It is expected that the presented method can facilitate construction of closed-loop controllers of systems, for which other methods are not effective, such as non-smooth or discontinuous ones., Comment: 23 pages, 7 figures, submitted to Meccanica, Special Issue on Self-Propelled Robots: from Theory to Applications

According to the structural balance theory, a signed graph is considered structurally balanced when it can be partitioned into a number of modules such that positive and negative edges are respectively located inside and between the modules. In practice, real-world networks are rarely structurally balanced, though. In this case, one may want to measure the magnitude of their imbalance, and to identify the set of edges causing this imbalance. The correlation clustering (CC) problem precisely consists in looking for the signed graph partition having the least imbalance. Recently, it has been shown that the space of the optimal solutions of the CC problem can be constituted of numerous and diverse optimal solutions. Yet, this space is difficult to explore, as the CC problem is NP-hard, and exact approaches do not scale well even when looking for a single optimal solution. To alleviate this issue, in this work we propose an efficient enumeration method allowing to retrieve the complete space of optimal solutions of the CC problem. It combines an exhaustive enumeration strategy with neighborhoods of varying sizes, to achieve computational effectiveness. Results obtained for middle-sized networks confirm the usefulness of our method.

Two-stage stochastic mixed-integer programming (SMIP) problems with general integer variables in the second-stage are generally difficult to solve. This paper develops the theory of integer set reduction for characterizing the subset of the convex hull of feasible integer points of the second-stage subproblem which can be used for solving the SMIP. The basic idea is to consider a small enough subset of feasible integer points that is necessary for generating a valid inequality for the integer subproblem. An algorithm for obtaining such a subset based on the solution of the subproblem LP-relaxation is then devised and incorporated into the Fenchel decomposition method for SMIP. To demonstrate the performance of the new integer set reduction methodology, a computational study based on randomly generated test instances was performed. The results of the study show that integer set reduction provides significant gains in terms of generating cuts faster leading to better bounds in solving SMIPs than using a direct solver., Comment: 28 pages, 5 figures

The aim of this paper is to compare the performance of a local solution technique—namely Sequential Linear Programming (SLP) employing random starting points—with state-of-the-art global solvers such as Baron and more sophisticated local solvers such as Sequential Quadratic Programming and Interior Point for the pooling problem. These problems can have many local optima, and we present a small example that illustrates how this can occur.We demonstrate that SLP—usually deemed obsolete since the arrival of fast reliable SQP solvers, Interior Point Methods and sophisticated global solvers—is still the method of choice for an important class of pooling problems when the criterion is the quality of the solution found within a given acceptable time budget. On this measure SLP significantly ourperforms all other tested algorithms.In addition we introduce a new formulation, the qq-formulation, for the case of fixed demands, that exclusively uses proportional variables. We compare the performance of SLP and the global solver Baron on the qq-formulation and other common formulations. While Baron with the qq-formulation generates weaker bounds than with the other formulations tested, for both SLP and Baron the qq-formulation finds the best solutions within a given time budget. The qq-formulation can be strengthened by pq-like cuts in which case the same bounds as for the pq-formulation are obtained. However the associated time penalty due to the additional constraints results in poorer solution quality within the time budget.

One of the essential elements in implementing a closed-loop irrigation system is soil moisture estimation based on a limited number of available sensors. One associated problem is the determination of the optimal locations to install the sensors such that good soil moisture estimation can be obtained. In our previous work, the modal degree of observability was employed to address the problem of optimal sensor placement for soil moisture estimation of agro-hydrological systems. It was demonstrated that the optimally placed sensors can improve the soil moisture estimation performance. However, it is unclear whether the optimal sensor placement can significantly improve the soil moisture estimation performance in actual applications. In this work, we investigate the impact of sensor placement in soil moisture estimation for an actual agricultural field in Lethbridge, Alberta, Canada. In an experiment on the studied field, 42 soil moisture sensors were installed at different depths to collect the soil moisture measurements for one growing season. A three-dimensional agro-hydrological model with heterogeneous soil parameters of the studied field is developed. The modal degree of observability is applied to the three-dimensional system to determine the optimal sensor locations. The extended Kalman filter (EKF) is chosen as the data assimilation tool to estimate the soil moisture content of the studied field. Soil moisture estimation results for different scenarios are obtained and analyzed to investigate the effects of sensor placement on the performance of soil moisture estimation in the actual applications.

In this paper, a necessary and sufficient condition for the controllability of networked systems with heterogeneous dynamics is established where the nodes are higher dimensional linear time invariant systems and the network topology is directed and weighted. The controllability of networked system over some specific topologies are also examined and some non-controllability results are obtained. The theoretical results are demonstrated with examples.

We aim to compute lifted stationary points of a sparse optimization problem (P0) with complementarity constraints. We define a continuous relaxation problem (Rv) that has the same global minimizers and optimal value with problem (P0). Problem (Rv) is a mathematical program with complementarity constraints (MPCC) and a difference-of-convex (DC) objective function. We define MPCC lifted-stationarity of (Rv) and show that it is weaker than directional stationarity, but stronger than Clarke stationarity for local optimality. Moreover, we propose an approximation method to solve (Rv) and an augmented Lagrangian method to solve its subproblem, which relaxes the equality constraint in (Rv) with a tolerance. We prove the convergence of our algorithm to an MPCC lifted-stationary point of problem (Rv) and use a sparse optimization problem with vertical linear complementarity constraints to demonstrate the efficiency of our algorithm on finding sparse solutions in practice., Comment: 29 pages, 3 figures

This paper generalizes recent results by the authors on noninvasive model-reference adaptive control designs for control-based continuation of periodic orbits in periodically excited linear systems with matched uncertainties to a larger class of periodically excited nonlinear systems with matched uncertainties and known structure. A candidate adaptive feedback design is also proposed in the case of scalar problems with unmodeled nonlinearities. In the former case, rigorous analysis shows guaranteed performance bounds for the associated prediction and estimation errors. Together with an assumption of persistent excitation, there follows asymptotic convergence to periodic responses determined uniquely by an a priori unknown periodic reference input and independent of initial conditions, as required by the control-based continuation paradigm. In particular, when the reference input equals the sought periodic response, the steady-state control input vanishes. Identical conclusions follow for the case of scalar dynamics with unmodeled nonlinearities, albeit with slow rates of convergence. Numerical simulations validate the theoretical predictions for individual parameter values. Integration with the software package COCO demonstrate successful continuation along families of stable and unstable periodic orbits with a minimum of parameter tuning. The results expand the envelope of known noninvasive feedback strategies for use in experimental model validation and engineering design.

International audience; This work focuses on a parameter-free joint piecewise smooth image denoising and contour detection. Formulated as the minimization of a discrete Mumford-Shah functional and estimated via a theoretically grounded alternating minimization scheme, the bottleneck of such a variational approach lies in the need to fine-tune their hyperparameters, while not having access to ground truth data.To that aim, a Stein-like strategy providing optimal hyperparameters is designed, based on the minimization of an unbiased estimate of the quadratic risk.Efficient and automated minimization of the estimate of the risk crucially relies on an unbiased estimate of the gradient of the risk with respect to hyperparameters. Its practical implementation is performed using a forward differentiation of the alternating scheme minimizing the Mumford-Shah functional, requiring exact differentiation of the proximity operators involved. Intensive numerical experiments are performed on synthetic images with different geometry and noise levels, assessing the accuracy and the robustness of the proposed procedure.The resulting parameter-free piecewise-smooth estimation and contour detection procedure, not requiring prior image processing expertise nor annotated data, can then be applied to real-world images.

The paper studies coincidence points of parameterized set-valued mappings (multifunctions), which provide an extended framework to cover several important topics in variational analysis and optimization that include the existence of solutions of parameterized generalized equations, implicit function and fixed-point theorems, optimal value functions in parametric optimization, etc. Using the advanced machinery of variational analysis and generalized differentiation that furnishes complete characterizations of well-posedness properties of multifunctions, we establish a general theorem ensuring the existence of parameter-dependent coincidence point mappings with explicit error bounds for parameterized multifunctions between infinite-dimensional spaces. The obtained major result yields a new implicit function theorem and allows us to derive efficient conditions for semicontinuity and continuity of optimal value functions associated with parametric minimization problems subject to constraints governed by parameterized generalized equations.

In the d-dimensional online bin packing problem, d-dimensional cubes of positive sizes no larger than 1 are presented one by one to be assigned to positions in d-dimensional unit cube bins. In this work, we provide improved upper bounds on the asymptotic competitive ratio for square and cube bin packing problems, where our bounds do not exceed 2.0885 and 2.5735 for square and cube packing, respectively. To achieve these results, we adapt and improve a previously designed harmonic-type algorithm, and apply a different method for defining weight functions. We detect deficiencies in the state-of-the-art results by providing counter-examples to the current best algorithms and the analysis, where the claimed bounds were 2.1187 for square packing and 2.6161 for cube packing., Comment: WADS 2021

We study competitive location problems in a continuous setting, in which facilities have to be placed in a rectangular domain $R$ of normalized dimensions of $1$ and $\rho\geq 1$, and distances are measured according to the Manhattan metric. We show that the family of 'balanced' facility configurations (in which the Voronoi cells of individual facilities are equalized with respect to a number of geometric properties) is considerably richer in this metric than for Euclidean distances. Our main result considers the 'One-Round Voronoi Game' with Manhattan distances, in which first player White and then player Black each place $n$ points in $R$; each player scores the area for which one of its facilities is closer than the facilities of the opponent. We give a tight characterization: White has a winning strategy if and only if $\rho\geq n$; for all other cases, we present a winning strategy for Black., Comment: 22 pages, 16 figures

Stochastic gradient methods (SGMs) have been extensively used for solving stochastic problems or large-scale machine learning problems. Recent works employ various techniques to improve the convergence rate of SGMs for both convex and nonconvex cases. Most of them require a large number of samples in some or all iterations of the improved SGMs. In this paper, we propose a new SGM, named PStorm, for solving nonconvex nonsmooth stochastic problems. With a momentum-based variance reduction technique, PStorm can achieve the optimal complexity result $O(\varepsilon^{-3})$ to produce a stochastic $\varepsilon$-stationary solution, if a mean-squared smoothness condition holds. Different from existing optimal methods, PStorm can achieve the ${O}(\varepsilon^{-3})$ result by using only one or $O(1)$ samples in every update. With this property, PStorm can be applied to online learning problems that favor real-time decisions based on one or $O(1)$ new observations. In addition, for large-scale machine learning problems, PStorm can generalize better by small-batch training than other optimal methods that require large-batch training and the vanilla SGM, as we demonstrate on training a sparse fully-connected neural network and a sparse convolutional neural network., Comment: Yibo Xu joined this work by adding a new proof for the case with constant stepsize and removing the requirement of a large initial minibatch

The Boosted Difference of Convex functions Algorithm (BDCA) has been recently introduced to accelerate the performance of the classical Difference of Convex functions Algorithm (DCA). This acceleration is achieved thanks to an extrapolation step from the point computed by DCA via a line search procedure. In this work, we propose an extension of BDCA that can be applied to difference of convex functions programs with linear constraints, and prove that every cluster point of the sequence generated by this algorithm is a Karush–Kuhn–Tucker point of the problem if the feasible set has a Slater point. When the objective function is quadratic, we prove that any sequence generated by the algorithm is bounded and R-linearly (geometrically) convergent. Finally, we present some numerical experiments where we compare the performance of DCA and BDCA on some challenging problems: to test the copositivity of a given matrix, to solve one-norm and infinity-norm trust-region subproblems, and to solve piecewise quadratic problems with box constraints. Our numerical results demonstrate that this new extension of BDCA outperforms DCA. Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. FJAA and RC were partially supported by the Ministry of Science, Innovation and Universities of Spain and the European Regional Development Fund (ERDF) of the European Commission (PGC2018-097960-B-C22), and by the Generalitat Valenciana (AICO/2021/165). PTV was supported by Vietnam Ministry of Education and Training Project hosting by the University of Technology and Education, Ho Chi Minh City Vietnam (2023-2024).

We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence speed is provided by the H\"older constant of the Hessian of the limit problem, and explain how correction terms can be constructed. This provides an alternative efficient method for the numerical approximation of the optimal control of a pure-jump problem in situations with very high intensity of jump. We illustrate this approach in the context of a display advertising auction problem.

We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, where at each stage the recursion depends on the whole future. The property holds for standard measures of risk used in practice, and is formulated in several equivalent versions including a representation via acceptance sets, a strong version, and a dual representation., 21 pages. Improved introduction and a new result on the canonical form for a Markovian family of dynamic risk measures

In this work, we study resolvent splitting algorithms for solving composite monotone inclusion problems. The objective of these general problems is finding a zero in the sum of maximally monotone operators composed with linear operators. Our main contribution is establishing the first primal-dual splitting algorithm for composite monotone inclusions with minimal lifting. Specifically, the proposed scheme reduces the dimension of the product space where the underlying fixed point operator is defined, in comparison to other algorithms, without requiring additional evaluations of the resolvent operators. We prove the convergence of this new algorithm and analyze its performance in a problem arising in image deblurring and denoising. This work also contributes to the theory of resolvent splitting algorithms by extending the minimal lifting theorem recently proved by Malitsky and Tam to schemes with resolvent parameters. FJAA and DTB were partially supported by the Ministry of Science, Innovation and Universities of Spain and the European Regional Development Fund (ERDF) of the European Commission, Grant PGC2018-097960-B-C22. FJAA was partially supported by the Generalitat Valenciana (AICO/2021/165). RIB was partially supported by FWF (Austrian Science Fund), project P 34922-N. DTB was supported by MINECO and European Social Fund (PRE2019-090751) under the program “Ayudas para contratos predoctorales para la formación de doctores” 2019.

In this paper we present general-purpose preconditioners for regularized augmented systems, and their corresponding normal equations, arising from optimization problems. We discuss positive definite preconditioners, suitable for CG and MINRES. We consider “sparsifications" which avoid situations in which eigenvalues of the preconditioned matrix may become complex. Special attention is given to systems arising from the application of regularized interior point methods to linear or nonlinear convex programming problems.

The paper proposes and develops new globally convergent algorithms of the generalized damped Newton type for solving important classes of nonsmooth optimization problems. These algorithms are based on the theory and calculations of second-order subdifferentials of nonsmooth functions with employing the machinery of second-order variational analysis and generalized differentiation. First we develop a globally superlinearly convergent damped Newton-type algorithm for the class of continuously differentiable functions with Lipschitzian gradients, which are nonsmooth of second order. Then we design such a globally convergent algorithm to solve a structured class of nonsmooth quadratic composite problems with extended-real-valued cost functions, which typically arise in machine learning and statistics. Finally, we present the results of numerical experiments and compare the performance of our main algorithm applied to an important class of Lasso problems with those achieved by other first-order and second-order optimization algorithms.

We propose a stochastic first-order trust-region method with inexact function and gradient evaluations for solving finite-sum minimization problems. Using a suitable reformulation of the given problem, our method combines the inexact restoration approach for constrained optimization with the trust-region procedure and random models. Differently from other recent stochastic trust-region schemes, our proposed algorithm improves feasibility and optimality in a modular way. We provide the expected number of iterations for reaching a near-stationary point by imposing some probability accuracy requirements on random functions and gradients which are, in general, less stringent than the corresponding ones in literature. We validate the proposed algorithm on some nonconvex optimization problems arising in binary classification and regression, showing that it performs well in terms of cost and accuracy, and allows to reduce the burdensome tuning of the hyper-parameters involved.

We construct a general framework for deriving error bounds for conic feasibility problems. In particular, our approach allows one to work with cones that fail to be amenable or even to have computable projections, two previously challenging barriers. For the purpose, we first show how error bounds may be constructed using objects called one-step facial residual functions. Then, we develop several tools to compute these facial residual functions even in the absence of closed form expressions for the projections onto the cones. We demonstrate the use and power of our results by computing tight error bounds for the exponential cone feasibility problem. Interestingly, we discover a natural example for which the tightest error bound is related to the Boltzmann-Shannon entropy. We were also able to produce an example of sets for which a H\"{o}lderian error bound holds but the supremum of the set of admissible exponents is not itself an admissible exponent., Comment: 39 pages, comments welcome. In this version, we simplified the error bound framework and also obtained a better error bound result for products of exponential cones

Stochastic gradient descent (SGD) is a widely adopted iterative method for optimizing differentiable objective functions. In this paper, we propose and discuss a novel approach to scale up SGD in applications involving non-convex functions and large datasets. We address the bottleneck problem arising when using both shared and distributed memory. Typically, the former is bounded by limited computation resources and bandwidth whereas the latter suffers from communication overheads. We propose a unified distributed and parallel implementation of SGD (named DPSGD) that relies on both asynchronous distribution and lock-free parallelism. By combining two strategies into a unified framework, DPSGD is able to strike a better trade-off between local computation and communication. The convergence properties of DPSGD are studied for non-convex problems such as those arising in statistical modelling and machine learning. Our theoretical analysis shows that DPSGD leads to speed-up with respect to the number of cores and number of workers while guaranteeing an asymptotic convergence rate of $$O(1/\sqrt{T})$$ O ( 1 / T ) given that the number of cores is bounded by $$T^{1/4}$$ T 1 / 4 and the number of workers is bounded by $$T^{1/2}$$ T 1 / 2 where T is the number of iterations. The potential gains that can be achieved by DPSGD are demonstrated empirically on a stochastic variational inference problem (Latent Dirichlet Allocation) and on a deep reinforcement learning (DRL) problem (advantage actor critic - A2C) resulting in two algorithms: DPSVI and HSA2C. Empirical results validate our theoretical findings. Comparative studies are conducted to show the performance of the proposed DPSGD against the state-of-the-art DRL algorithms.

Stochastic MPECs have found increasing relevance for modeling a broad range of settings in engineering and statistics. Yet, there seem to be no efficient first/zeroth-order schemes equipped with non-asymptotic rate guarantees for resolving even deterministic variants of such problems. We consider SMPECs where the parametrized lower-level equilibrium problem is given by a deterministic/stochastic VI problem whose mapping is strongly monotone. We develop a zeroth-order implicit algorithmic framework by leveraging a locally randomized spherical smoothing scheme. We present schemes for single-stage and two-stage stochastic MPECs when the upper-level problem is either convex or nonconvex. (I). Single-stage SMPECs: In convex regimes, our proposed inexact schemes are characterized by a complexity in upper-level projections, upper-level samples, and lower-level projections of $\mathcal{O}(\tfrac{1}{\epsilon^2})$, $\mathcal{O}(\tfrac{1}{\epsilon^2})$, and $\mathcal{O}(\tfrac{1}{\epsilon^2}\ln(\tfrac{1}{\epsilon}))$ , respectively. Analogous bounds for the nonconvex regime are $\mathcal{O}(\tfrac{1}{\epsilon})$, $\mathcal{O}(\tfrac{1}{\epsilon^2})$, and $\mathcal{O}(\tfrac{1}{\epsilon^3})$, respectively . (II). Two-stage SMPECs: In convex regimes, our proposed inexact schemes have a complexity in upper-level projections, upper-level samples, and lower-level projections of $\mathcal{O}(\tfrac{1}{\epsilon^2}),\mathcal{O}(\tfrac{1}{\epsilon^2})$, and $\mathcal{O}(\tfrac{1}{\epsilon^2}\ln(\tfrac{1}{\epsilon}))$ while the corresponding bounds in the nonconvex regime are $\mathcal{O}(\tfrac{1}{\epsilon})$, $\mathcal{O}(\tfrac{1}{\epsilon^2})$, and $\mathcal{O}(\tfrac{1}{\epsilon^2}\ln(\tfrac{1}{\epsilon}))$ , respectively . In addition, we derive statements for exact as well as accelerated counterparts. We also provide a comprehensive set of numerical results for validating the theoretical findings.

This paper is concerned with the calmness of a partial perturbation to the composite rank constraint system, an intersection of the rank constraint set and a general closed set, which is shown to be equivalent to a local Lipschitz-type error bound and also a global Lipschitz-type error bound under a certain compactness. Based on its lifted formulation, we derive two criteria for identifying those closed sets such that the associated partial perturbation possesses the calmness, and provide a collection of examples to demonstrate that the criteria are satisfied by common nonnegative and positive semidefinite rank constraint sets. Then, we use the calmness of this perturbation to obtain several global exact penalties for rank constrained optimization problems, and a family of equivalent DC surrogates for rank regularized problems.

Group synchronization aims to recover the group elements from their noisy pairwise measurements. It has found many applications in community detection, clock synchronization, and joint alignment problem. This paper focuses on the orthogonal group synchronization which is often used in cryo-EM and computer vision. However, it is generally NP-hard to retrieve the group elements by finding the least squares estimator. In this work, we first study the semidefinite programming (SDP) relaxation of the orthogonal group synchronization and its tightness, i.e., the SDP estimator is exactly equal to the least squares estimator. Moreover, we investigate the performance of the Burer-Monteiro factorization in solving the SDP relaxation by analyzing its corresponding optimization landscape. We provide deterministic sufficient conditions which guarantee: (i) the tightness of SDP relaxation; (ii) optimization landscape arising from the Burer-Monteiro approach is benign, i.e., the global optimum is exactly the least squares estimator and no other spurious local optima exist. Our result provides a solid theoretical justification of why the Burer-Monteiro approach is remarkably efficient and effective in solving the large-scale SDPs arising from orthogonal group synchronization. We perform numerical experiments to complement our theoretical analysis, which gives insights into future research directions.

In this paper, using the Bregman distance, we introduce a new projection-type algorithm for finding a common element of the set of solutions of an equilibrium problem and the set of fixed points. Then the strong convergence of the sequence generated by the algorithm will be established under suitable conditions. Finally, using MATLAB software, we present a numerical example to illustrate the convergence performance of our algorithm., 19 pages

Composite optimization problems, where the sum of a smooth and a merely lower semicontinuous function has to be minimized, are often tackled numerically by means of proximal gradient methods as soon as the lower semicontinuous part of the objective function is of simple enough structure. The available convergence theory associated with these methods (mostly) requires the derivative of the smooth part of the objective function to be (globally) Lipschitz continuous, and this might be a restrictive assumption in some practically relevant scenarios. In this paper, we readdress this classical topic and provide convergence results for the classical (monotone) proximal gradient method and one of its nonmonotone extensions which are applicable in the absence of (strong) Lipschitz assumptions. This is possible since, for the price of forgoing convergence rates, we omit the use of descent-type lemmas in our analysis., Comment: 23 pages

We study nested variational inequalities, which are variational inequalities whose feasible set is the solution set of another variational inequality. We present a projected averaging Tikhonov algorithm requiring the weakest conditions in the literature to guarantee the convergence to solutions of the nested variational inequality. Specifically, we only need monotonicity of the upper- and the lower-level variational inequalities. Also, we provide the first complexity analysis for nested variational inequalities considering optimality of both the upper- and lower-level.

In recent work, we provide computational arguments for expanding the class of proper cones recognized by conic optimization solvers, to permit simpler, smaller, more natural conic formulations. We define an exotic cone as a proper cone for which we can implement a small set of tractable (i.e. fast, numerically stable, analytic) oracles for a logarithmically homogeneous self-concordant barrier for the cone or for its dual cone. Our extensible, open source conic interior point solver, Hypatia, allows modeling and solving any conic optimization problem over a Cartesian product of exotic cones. In this paper, we introduce Hypatia's interior point algorithm. Our algorithm is based on that of Skajaa and Ye [2015], which we generalize by handling exotic cones without tractable primal oracles. With the goal of improving iteration count and solve time in practice, we propose a sequence of four enhancements to the interior point stepping procedure of Skajaa and Ye [2015]: (1) loosening the central path proximity condition, (2) adjusting the directions using a third order directional derivative barrier oracle, (3) performing a backtracking search on a curve, and (4) combining the prediction and centering directions. We implement 23 useful exotic cones in Hypatia. We summarize the complexity of computing oracles for these cones, showing that our new third order oracle is not a bottleneck, and we derive efficient and numerically stable oracle implementations for several cones. We generate a diverse benchmark set of 379 conic problems from 37 different applied examples. Our computational testing shows that each stepping enhancement improves Hypatia's iteration count and solve time. Altogether, the enhancements reduce the shifted geometric means of iteration count and solve time by over 80% and 70% respectively., This preprint has not undergone peer review or any post-submission improvements or corrections. The Version of Record of this article is published in Mathematical Programming Computation, and is available online at https://doi.org/10.1007/s12532-022-00226-0

In this paper, we study and prove the non-asymptotic superlinear convergence rate of the Broyden class of quasi-Newton algorithms which includes the Davidon–Fletcher–Powell (DFP) method and the Broyden–Fletcher–Goldfarb–Shanno (BFGS) method. The asymptotic superlinear convergence rate of these quasi-Newton methods has been extensively studied in the literature, but their explicit finite–time local convergence rate is not fully investigated. In this paper, we provide a finite–time (non-asymptotic) convergence analysis for Broyden quasi-Newton algorithms under the assumptions that the objective function is strongly convex, its gradient is Lipschitz continuous, and its Hessian is Lipschitz continuous at the optimal solution. We show that in a local neighborhood of the optimal solution, the iterates generated by both DFP and BFGS converge to the optimal solution at a superlinear rate of $$(1/k)^{k/2}$$ ( 1 / k ) k / 2 , where k is the number of iterations. We also prove a similar local superlinear convergence result holds for the case that the objective function is self-concordant. Numerical experiments on several datasets confirm our explicit convergence rate bounds. Our theoretical guarantee is one of the first results that provide a non-asymptotic superlinear convergence rate for quasi-Newton methods.

International audience; This research reports on the recent development of black-box optimization methods based on single-step deep reinforcement learning (DRL) and their conceptual similarity to evolution strategy (ES) techniques. It formally introduces policy-based optimization (PBO), a policy-gradient method that relies on a policy network to describe the density function of its forthcoming evaluations, and uses covariance estimation to steer the policy improvement process in the right direction. The specifics of the PBO algorithm are detailed, and the connection to evolutionary strategies (especially covariance matrix adaptation evolutionary strategy) is discussed. Relevance is assessed by benchmarking PBO against classical ES techniques on analytic functions minimization problems, and by optimizing various parametric control laws intended for the Lorenz attractor. Given the scarce existing literature on the topic, this contribution definitely establishes PBO as a valid, versatile black-box optimization technique, and opens the way to multiple future improvements building on the inherent flexibility of the neural networks approach.

We present a 'calculator' for constructing a homogeneous approximation of nonlinear control systems, which is based on the algebraic approach developed by the authors in their previous papers. This approach mainly uses linear algebraic and combinatorial tools, so, it is perfectly adapted to computer realization. We describe the algorithm and discuss its capabilities and limitations. We present its implementation as a web application and show by example how this app works.

This paper addresses an integrated lot-sizing and scheduling problem in the industry of consumer goods for personal care, a very competitive market in which the good customer service level and the cost management show up in the competition for the clients. In this research, a complex operational environment composed of unrelated parallel machines with limited production capacity and sequence-dependent setup times and costs is studied. There is also a limited finished-goods storage capacity, a characteristic not found in the literature. Backordering is allowed but it is extremely undesirable. The problem is described through a mixed integer linear programming formulation. Since the problem is NP-hard, relax-and-fix heuristics with hybrid partitioning strategies are investigated. Computational experiments with randomly generated and also with real-world instances are presented. The results show the efficacy and efficiency of the proposed approaches. Compared to current solutions used by the company, the best proposed strategies yield results with substantially lower costs, primarily from the reduction in inventory levels and better allocation of production batches on the machines.

In this paper we provide a rigorous convergence analysis for the renowned particle swarm optimization method by using tools from stochastic calculus and the analysis of partial differential equations. Based on a time-continuous formulation of the particle dynamics as a system of stochastic differential equations, we establish convergence to a global minimizer of a possibly nonconvex and nonsmooth objective function in two steps. First, we prove consensus formation of an associated mean-field dynamics by analyzing the time-evolution of the variance of the particle distribution. We then show that this consensus is close to a global minimizer by employing the asymptotic Laplace principle and a tractability condition on the energy landscape of the objective function. These results allow for the usage of memory mechanisms, and hold for a rich class of objectives provided certain conditions of well-preparation of the hyperparameters and the initial datum. In a second step, at least for the case without memory effects, we provide a quantitative result about the mean-field approximation of particle swarm optimization, which specifies the convergence of the interacting particle system to the associated mean-field limit. Combining these two results allows for global convergence guarantees of the numerical particle swarm optimization method with provable polynomial complexity. To demonstrate the applicability of the method we propose an efficient and parallelizable implementation, which is tested in particular on a competitive and well-understood high-dimensional benchmark problem in machine learning., Comment: 28 pages, 4 figures

This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general terminal value and general coefficient with Lipschitz continuity, the convergence of the first two temporal semi-discretizations is established, and an explicit convergence rate is derived for the third temporal semi-discretization. The third temporal semi-discretization is applied to a general stochastic linear quadratic control problem, and the convergence of a temporally semi-discrete approximation to the optimal control is established.

We model the formation of networks as the result of a game where by players act selfishly to get the portfolio of links they desire most. The integration of player strategies into the network formation model is appropriate for organizational networks because in these smaller networks, dynamics are not random, but the result of intentional actions carried through by players maximizing their own objectives. This model is a better framework for the analysis of influences upon a network because it integrates the strategies of the players involved. We present an Integer Program that calculates the price of anarchy of this game by finding the worst stable graph and the best coordinated graph for this game. We simulate the formation of the network and calculated the simulated price of anarchy, which we find tends to be rather low., Submitted to the MORS Journal

The constraint nondegeneracy condition is one of the most relevant and useful constraint qualifications in nonlinear semidefinite programming. It can be characterized in terms of any fixed orthonormal basis of the, let us say, $\ell$-dimensional kernel of the constraint matrix, by the linear independence of a set of $\ell(\ell+1)/2$ derivative vectors. We show that this linear independence requirement can be equivalently formulated in a smaller set, of $\ell$ derivative vectors, by considering all orthonormal bases of the kernel instead. This allows us to identify that not all bases are relevant for a constraint qualification to be defined, giving rise to a strictly weaker variant of nondegeneracy related to the global convergence of an external penalty method. We use some of these ideas to revisit an approach of Forsgren [Math. Prog. 88, 105--128, 2000] for exploiting the sparsity structure of a transformation of the constraints to define a constraint qualification, which led us to develop another relaxed notion of nondegeneracy using a simpler transformation. If the zeros of the derivatives of the constraint function at a given point are considered, instead of the zeros of the function itself in a neighborhood of that point, we obtain an even weaker constraint qualification that connects Forsgren's condition and ours., 17 pages, 1 figure. Some results have been revised. GS-nondegeneracy added

The first part of this work established the foundations of a radial duality between nonnegative optimization problems, inspired by the work of (Renegar, 2016). Here we utilize our radial duality theory to design and analyze projection-free optimization algorithms that operate by solving a radially dual problem. In particular, we consider radial subgradient, smoothing, and accelerated methods that are capable of solving a range of constrained convex and nonconvex optimization problems and that can scale-up more efficiently than their classic counterparts. These algorithms enjoy the same benefits as their predecessors, avoiding Lipschitz continuity assumptions and costly orthogonal projections, in our newfound, broader context. Our radial duality further allows us to understand the effects and benefits of smoothness and growth conditions on the radial dual and consequently on our radial algorithms., A two-part work. See the first part for the foundations, establishing the uniqueness and calculus of this nonnegative optimization duality

We design inexact proximal augmented Lagrangian based decomposition methods for convex composite programming problems with dual block-angular structures. Our methods are particularly well suited for convex quadratic programming problems arising from stochastic programming models. The algorithmic framework is based on the application of the abstract inexact proximal ADMM framework developed in [Chen, Sun, Toh, Math. Prog. 161:237--270] to the dual of the target problem, as well as the application of the recently developed symmetric Gauss-Seidel decomposition theorem for solving a proximal multi-block convex composite quadratic programming problem. The key issues in our algorithmic design are firstly in designing appropriate proximal terms to decompose the computation of the dual variable blocks of the target problem to make the subproblems in each iteration easier to solve, and secondly to develop novel numerical schemes to solve the decomposed subproblems efficiently. Our inexact augmented Lagrangian based decomposition methods have guaranteed convergence. We present an application of the proposed algorithms to the doubly nonnegative relaxations of uncapacitated facility location problems, as well as to two-stage stochastic optimization problems. We conduct numerous numerical experiments to evaluate the performance of our method against state-of-the-art solvers such as Gurobi and MOSEK. Moreover, our proposed algorithms also compare favourably to the well-known progressive hedging algorithm of Rockafellar and Wets.

We consider the problem of measuring the margin of robust feasibility of solutions to a system of nonlinear equations. We study the special case of a system of quadratic equations, which shows up in many practical applications such as the power grid and other infrastructure networks. This problem is a generalization of quadratically constrained quadratic programming (QCQP), which is NP-Hard in the general setting. We develop approaches based on topological degree theory to estimate bounds on the robustness margin of such systems. Our methods use tools from convex analysis and optimization theory to cast the problems of checking the conditions for robust feasibility as a nonlinear optimization problem. We then develop inner bound and outer bound procedures for this optimization problem, which could be solved efficiently to derive lower and upper bounds, respectively, for the margin of robust feasibility. We evaluate our approach numerically on standard instances taken from the MATPOWER and NESTA databases of AC power flow equations that describe the steady state of the power grid. The results demonstrate that our approach can produce tight lower and upper bounds on the margin of robust feasibility for such instances., Minor changes in writing; added computational instances. To appear in Optimization Letters

A vector is \emph{dyadic} if each of its entries is a dyadic rational number, i.e. of the form $\frac{a}{2^k}$ for some integers $a,k$ with $k\geq 0$. A linear system $Ax\leq b$ with integral data is \emph{totally dual dyadic} if whenever $\min\{b^\top y:A^\top y=w,y\geq {\bf 0}\}$ for $w$ integral, has an optimal solution, it has a dyadic optimal solution. In this paper, we study total dual dyadicness, and give a co-NP characterization of it in terms of \emph{dyadic generating sets for cones and subspaces}, the former being the dyadic analogue of \emph{Hilbert bases}, and the latter a polynomial-time recognizable relaxation of the former. Along the way, we see some surprising turn of events when compared to total dual integrality, primarily led by the \emph{density} of the dyadic rationals. Our study ultimately leads to a better understanding of total dual integrality and polyhedral integrality. We see examples from dyadic matrices, $T$-joins, cycles, and perfect matchings of a graph., 22 pages

Anderson acceleration (AA) is a popular method for accelerating fixed-point iterations, but may suffer from instability and stagnation. We propose a globalization method for AA to improve stability and achieve unified global and local convergence. Unlike existing AA globalization approaches that rely on safeguarding operations and might hinder fast local convergence, we adopt a nonmonotone trust-region framework and introduce an adaptive quadratic regularization together with a tailored acceptance mechanism. We prove global convergence and show that our algorithm attains the same local convergence as AA under appropriate assumptions. The effectiveness of our method is demonstrated in several numerical experiments., Accepted to Journal of Scientific Computing

In this paper, we study the convergence properties of a randomized block-coordinate descent algorithm for the minimization of a composite convex objective function, where the block-coordinates are updated asynchronously and randomly according to an arbitrary probability distribution. We prove that the iterates generated by the algorithm form a stochastic quasi-Fejér sequence and thus converge almost surely to a minimizer of the objective function. Moreover, we prove a general sublinear rate of convergence in expectation for the function values and a linear rate of convergence in expectation under an error bound condition of Tseng type. Under the same condition strong convergence of the iterates is provided as well as their linear convergence rate.