147 research outputs found
A new ADMM algorithm for the Euclidean median and its application to robust patch regression
The Euclidean Median (EM) of a set of points in an Euclidean space
is the point x minimizing the (weighted) sum of the Euclidean distances of x to
the points in . While there exits no closed-form expression for the EM,
it can nevertheless be computed using iterative methods such as the Wieszfeld
algorithm. The EM has classically been used as a robust estimator of centrality
for multivariate data. It was recently demonstrated that the EM can be used to
perform robust patch-based denoising of images by generalizing the popular
Non-Local Means algorithm. In this paper, we propose a novel algorithm for
computing the EM (and its box-constrained counterpart) using variable splitting
and the method of augmented Lagrangian. The attractive feature of this approach
is that the subproblems involved in the ADMM-based optimization of the
augmented Lagrangian can be resolved using simple closed-form projections. The
proposed ADMM solver is used for robust patch-based image denoising and is
shown to exhibit faster convergence compared to an existing solver.Comment: 5 pages, 3 figures, 1 table. To appear in Proc. IEEE International
Conference on Acoustics, Speech, and Signal Processing, April 19-24, 201
Fast Primal-Dual Gradient Method for Strongly Convex Minimization Problems with Linear Constraints
In this paper we consider a class of optimization problems with a strongly
convex objective function and the feasible set given by an intersection of a
simple convex set with a set given by a number of linear equality and
inequality constraints. A number of optimization problems in applications can
be stated in this form, examples being the entropy-linear programming, the
ridge regression, the elastic net, the regularized optimal transport, etc. We
extend the Fast Gradient Method applied to the dual problem in order to make it
primal-dual so that it allows not only to solve the dual problem, but also to
construct nearly optimal and nearly feasible solution of the primal problem. We
also prove a theorem about the convergence rate for the proposed algorithm in
terms of the objective function and the linear constraints infeasibility.Comment: Submitted for DOOR 201
Douglas-Rachford Splitting: Complexity Estimates and Accelerated Variants
We propose a new approach for analyzing convergence of the Douglas-Rachford
splitting method for solving convex composite optimization problems. The
approach is based on a continuously differentiable function, the
Douglas-Rachford Envelope (DRE), whose stationary points correspond to the
solutions of the original (possibly nonsmooth) problem. By proving the
equivalence between the Douglas-Rachford splitting method and a scaled gradient
method applied to the DRE, results from smooth unconstrained optimization are
employed to analyze convergence properties of DRS, to tune the method and to
derive an accelerated version of it
Distributed Interior-point Method for Loosely Coupled Problems
In this paper, we put forth distributed algorithms for solving loosely
coupled unconstrained and constrained optimization problems. Such problems are
usually solved using algorithms that are based on a combination of
decomposition and first order methods. These algorithms are commonly very slow
and require many iterations to converge. In order to alleviate this issue, we
propose algorithms that combine the Newton and interior-point methods with
proximal splitting methods for solving such problems. Particularly, the
algorithm for solving unconstrained loosely coupled problems, is based on
Newton's method and utilizes proximal splitting to distribute the computations
for calculating the Newton step at each iteration. A combination of this
algorithm and the interior-point method is then used to introduce a distributed
algorithm for solving constrained loosely coupled problems. We also provide
guidelines on how to implement the proposed methods efficiently and briefly
discuss the properties of the resulting solutions.Comment: Submitted to the 19th IFAC World Congress 201
Fast ADMM Algorithm for Distributed Optimization with Adaptive Penalty
We propose new methods to speed up convergence of the Alternating Direction
Method of Multipliers (ADMM), a common optimization tool in the context of
large scale and distributed learning. The proposed method accelerates the speed
of convergence by automatically deciding the constraint penalty needed for
parameter consensus in each iteration. In addition, we also propose an
extension of the method that adaptively determines the maximum number of
iterations to update the penalty. We show that this approach effectively leads
to an adaptive, dynamic network topology underlying the distributed
optimization. The utility of the new penalty update schemes is demonstrated on
both synthetic and real data, including a computer vision application of
distributed structure from motion.Comment: 8 pages manuscript, 2 pages appendix, 5 figure
ShapeFit and ShapeKick for Robust, Scalable Structure from Motion
We introduce a new method for location recovery from pair-wise directions
that leverages an efficient convex program that comes with exact recovery
guarantees, even in the presence of adversarial outliers. When pairwise
directions represent scaled relative positions between pairs of views
(estimated for instance with epipolar geometry) our method can be used for
location recovery, that is the determination of relative pose up to a single
unknown scale. For this task, our method yields performance comparable to the
state-of-the-art with an order of magnitude speed-up. Our proposed numerical
framework is flexible in that it accommodates other approaches to location
recovery and can be used to speed up other methods. These properties are
demonstrated by extensively testing against state-of-the-art methods for
location recovery on 13 large, irregular collections of images of real scenes
in addition to simulated data with ground truth
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