Convex optimization

About: Convex optimization is a research topic. Over the lifetime, 24906 publications have been published within this topic receiving 908795 citations. The topic is also known as: convex optimisation.

Smooth minimization of non-smooth functions

Abstract: In this paper we propose a new approach for constructing efficient schemes for non-smooth convex optimization. It is based on a special smoothing technique, which can be applied to functions with explicit max-structure. Our approach can be considered as an alternative to black-box minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from ** keeping basically the complexity of each iteration unchanged.

On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators

Abstract: This paper shows, by means of an operator called asplitting operator, that the Douglas--Rachford splitting method for finding a zero of the sum of two monotone operators is a special case of the proximal point algorithm. Therefore, applications of Douglas--Rachford splitting, such as the alternating direction method of multipliers for convex programming decomposition, are also special cases of the proximal point algorithm. This observation allows the unification and generalization of a variety of convex programming algorithms. By introducing a modified version of the proximal point algorithm, we derive a new,generalized alternating direction method of multipliers for convex programming. Advances of this sort illustrate the power and generality gained by adopting monotone operator theory as a conceptual framework.

Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

Abstract: The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NP-hard because it contains vector cardinality minimization as a special case. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum-rank solution can be recovered by solving a convex optimization problem, namely, the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability, provided the codimension of the subspace is sufficiently large. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this preexisting concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization. We also discuss several algorithmic approaches to minimizing the nuclear norm and illustrate our results with numerical examples.

Efficient sparse coding algorithms

Abstract: Sparse coding provides a class of algorithms for finding succinct representations of stimuli; given only unlabeled input data, it discovers basis functions that capture higher-level features in the data. However, finding sparse codes remains a very difficult computational problem. In this paper, we present efficient sparse coding algorithms that are based on iteratively solving two convex optimization problems: an L1-regularized least squares problem and an L2-constrained least squares problem. We propose novel algorithms to solve both of these optimization problems. Our algorithms result in a significant speedup for sparse coding, allowing us to learn larger sparse codes than possible with previously described algorithms. We apply these algorithms to natural images and demonstrate that the inferred sparse codes exhibit end-stopping and non-classical receptive field surround suppression and, therefore, may provide a partial explanation for these two phenomena in V1 neurons.