Linear Coupling: An Ultimate Unification of Gradient and Mirror Descent

First-order methods play a central role in large-scale machine learning. Even though many variations exist, each suited to a particular problem, almost all such methods fundamentally rely on two types of algorithmic steps: gradient descent, which yields primal progress, and mirror descent, which yields dual progress. We observe that the performances of gradient and mirror descent are complementary, so that faster algorithms can be designed by LINEARLY COUPLING the two. We show how to reconstruct Nesterov's accelerated gradient methods using linear coupling, which gives a cleaner interpretation than Nesterov's original proofs. We also discuss the power of linear coupling by extending it to many other settings that Nesterov's methods cannot apply to.Comment: A new section added; polished writin

Online algorithms for covering and packing problems with convex objectives

We present online algorithms for covering and packing problems with (non-linear) convex objectives. The convex covering problem is defined as ...postprin

Online Primal-Dual Algorithms with Configuration Linear Programs

In this paper, we present primal-dual algorithms for online problems with non-convex objectives. Problems with convex objectives have been extensively studied in recent years where the analyses rely crucially on the convexity and the Fenchel duality. However, problems with non-convex objectives resist against current approaches and non-convexity represents a strong barrier in optimization in general and in the design of online algorithms in particular. In our approach, we consider configuration linear programs with the multilinear extension of the objectives. We follow the multiplicative weight update framework in which a novel point is that the primal update is defined based on the gradient of the multilinear extension. We introduce new notions, namely (local) smoothness, in order to characterize the competitive ratios of our algorithms. The approach leads to competitive algorithms for several problems with convex/non-convex objectives