5,832 research outputs found

    Recovery of Low-Rank Matrices under Affine Constraints via a Smoothed Rank Function

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    In this paper, the problem of matrix rank minimization under affine constraints is addressed. The state-of-the-art algorithms can recover matrices with a rank much less than what is sufficient for the uniqueness of the solution of this optimization problem. We propose an algorithm based on a smooth approximation of the rank function, which practically improves recovery limits on the rank of the solution. This approximation leads to a non-convex program; thus, to avoid getting trapped in local solutions, we use the following scheme. Initially, a rough approximation of the rank function subject to the affine constraints is optimized. As the algorithm proceeds, finer approximations of the rank are optimized and the solver is initialized with the solution of the previous approximation until reaching the desired accuracy. On the theoretical side, benefiting from the spherical section property, we will show that the sequence of the solutions of the approximating function converges to the minimum rank solution. On the experimental side, it will be shown that the proposed algorithm, termed SRF standing for Smoothed Rank Function, can recover matrices which are unique solutions of the rank minimization problem and yet not recoverable by nuclear norm minimization. Furthermore, it will be demonstrated that, in completing partially observed matrices, the accuracy of SRF is considerably and consistently better than some famous algorithms when the number of revealed entries is close to the minimum number of parameters that uniquely represent a low-rank matrix.Comment: Accepted in IEEE TSP on December 4th, 201

    Linear Convergence of Comparison-based Step-size Adaptive Randomized Search via Stability of Markov Chains

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    In this paper, we consider comparison-based adaptive stochastic algorithms for solving numerical optimisation problems. We consider a specific subclass of algorithms that we call comparison-based step-size adaptive randomized search (CB-SARS), where the state variables at a given iteration are a vector of the search space and a positive parameter, the step-size, typically controlling the overall standard deviation of the underlying search distribution.We investigate the linear convergence of CB-SARS on\emph{scaling-invariant} objective functions. Scaling-invariantfunctions preserve the ordering of points with respect to their functionvalue when the points are scaled with the same positive parameter (thescaling is done w.r.t. a fixed reference point). This class offunctions includes norms composed with strictly increasing functions aswell as many non quasi-convex and non-continuousfunctions. On scaling-invariant functions, we show the existence of ahomogeneous Markov chain, as a consequence of natural invarianceproperties of CB-SARS (essentially scale-invariance and invariance tostrictly increasing transformation of the objective function). We thenderive sufficient conditions for \emph{global linear convergence} ofCB-SARS, expressed in terms of different stability conditions of thenormalised homogeneous Markov chain (irreducibility, positivity, Harrisrecurrence, geometric ergodicity) and thus define a general methodologyfor proving global linear convergence of CB-SARS algorithms onscaling-invariant functions. As a by-product we provide aconnexion between comparison-based adaptive stochasticalgorithms and Markov chain Monte Carlo algorithms.Comment: SIAM Journal on Optimization, Society for Industrial and Applied Mathematics, 201

    Joint Transceiver Design Algorithms for Multiuser MISO Relay Systems with Energy Harvesting

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    In this paper, we investigate a multiuser relay system with simultaneous wireless information and power transfer. Assuming that both base station (BS) and relay station (RS) are equipped with multiple antennas, this work studies the joint transceiver design problem for the BS beamforming vectors, the RS amplify-and-forward transformation matrix and the power splitting (PS) ratios at the single-antenna receivers. Firstly, an iterative algorithm based on alternating optimization (AO) and with guaranteed convergence is proposed to successively optimize the transceiver coefficients. Secondly, a novel design scheme based on switched relaying (SR) is proposed that can significantly reduce the computational complexity and overhead of the AO based designs while maintaining a similar performance. In the proposed SR scheme, the RS is equipped with a codebook of permutation matrices. For each permutation matrix, a latent transceiver is designed which consists of BS beamforming vectors, optimally scaled RS permutation matrix and receiver PS ratios. For the given CSI, the optimal transceiver with the lowest total power consumption is selected for transmission. We propose a concave-convex procedure based and subgradient-type iterative algorithms for the non-robust and robust latent transceiver designs. Simulation results are presented to validate the effectiveness of all the proposed algorithms

    Hessian barrier algorithms for linearly constrained optimization problems

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    In this paper, we propose an interior-point method for linearly constrained optimization problems (possibly nonconvex). The method - which we call the Hessian barrier algorithm (HBA) - combines a forward Euler discretization of Hessian Riemannian gradient flows with an Armijo backtracking step-size policy. In this way, HBA can be seen as an alternative to mirror descent (MD), and contains as special cases the affine scaling algorithm, regularized Newton processes, and several other iterative solution methods. Our main result is that, modulo a non-degeneracy condition, the algorithm converges to the problem's set of critical points; hence, in the convex case, the algorithm converges globally to the problem's minimum set. In the case of linearly constrained quadratic programs (not necessarily convex), we also show that the method's convergence rate is O(1/kρ)\mathcal{O}(1/k^\rho) for some ρ(0,1]\rho\in(0,1] that depends only on the choice of kernel function (i.e., not on the problem's primitives). These theoretical results are validated by numerical experiments in standard non-convex test functions and large-scale traffic assignment problems.Comment: 27 pages, 6 figure
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