78 research outputs found
A Stochastic Quasigradient Algorithm with Variable Metric
This paper deals with a new variable metric algorithm for stochastic optimization problems. The essence of this is as follows: there exist two stochastic quasigradient algorithms working simultaneously -- the first in the main space, the second with respect to the matrices that modify the space variables. Almost sure convergence of the algorithm is proved for the case of the convex (possibly nonsmooth) objective function
Bounded Simplex-Structured Matrix Factorization: Algorithms, Identifiability and Applications
In this paper, we propose a new low-rank matrix factorization model dubbed
bounded simplex-structured matrix factorization (BSSMF). Given an input matrix
and a factorization rank , BSSMF looks for a matrix with columns
and a matrix with rows such that where the entries in
each column of are bounded, that is, they belong to given intervals, and
the columns of belong to the probability simplex, that is, is column
stochastic. BSSMF generalizes nonnegative matrix factorization (NMF), and
simplex-structured matrix factorization (SSMF). BSSMF is particularly well
suited when the entries of the input matrix belong to a given interval; for
example when the rows of represent images, or is a rating matrix such
as in the Netflix and MovieLens datasets where the entries of belong to the
interval . The simplex-structured matrix not only leads to an easily
understandable decomposition providing a soft clustering of the columns of ,
but implies that the entries of each column of belong to the same
intervals as the columns of . In this paper, we first propose a fast
algorithm for BSSMF, even in the presence of missing data in . Then we
provide identifiability conditions for BSSMF, that is, we provide conditions
under which BSSMF admits a unique decomposition, up to trivial ambiguities.
Finally, we illustrate the effectiveness of BSSMF on two applications:
extraction of features in a set of images, and the matrix completion problem
for recommender systems.Comment: 14 pages, new title, new numerical experiments on synthetic data,
clarifications of several parts of the paper, run times adde
Conditional Gradient Methods
The purpose of this survey is to serve both as a gentle introduction and a
coherent overview of state-of-the-art Frank--Wolfe algorithms, also called
conditional gradient algorithms, for function minimization. These algorithms
are especially useful in convex optimization when linear optimization is
cheaper than projections.
The selection of the material has been guided by the principle of
highlighting crucial ideas as well as presenting new approaches that we believe
might become important in the future, with ample citations even of old works
imperative in the development of newer methods. Yet, our selection is sometimes
biased, and need not reflect consensus of the research community, and we have
certainly missed recent important contributions. After all the research area of
Frank--Wolfe is very active, making it a moving target. We apologize sincerely
in advance for any such distortions and we fully acknowledge: We stand on the
shoulder of giants.Comment: 238 pages with many figures. The FrankWolfe.jl Julia package
(https://github.com/ZIB-IOL/FrankWolfe.jl) providces state-of-the-art
implementations of many Frank--Wolfe method
Unified analysis of SGD-type methods
This note focuses on a simple approach to the unified analysis of SGD-type
methods from (Gorbunov et al., 2020) for strongly convex smooth optimization
problems. The similarities in the analyses of different stochastic first-order
methods are discussed along with the existing extensions of the framework. The
limitations of the analysis and several alternative approaches are mentioned as
well.Comment: Part of the Encyclopedia of Optimization. 8 page
A Total Fractional-Order Variation Model for Image Restoration with Non-homogeneous Boundary Conditions and its Numerical Solution
To overcome the weakness of a total variation based model for image
restoration, various high order (typically second order) regularization models
have been proposed and studied recently. In this paper we analyze and test a
fractional-order derivative based total -order variation model, which
can outperform the currently popular high order regularization models. There
exist several previous works using total -order variations for image
restoration; however first no analysis is done yet and second all tested
formulations, differing from each other, utilize the zero Dirichlet boundary
conditions which are not realistic (while non-zero boundary conditions violate
definitions of fractional-order derivatives). This paper first reviews some
results of fractional-order derivatives and then analyzes the theoretical
properties of the proposed total -order variational model rigorously.
It then develops four algorithms for solving the variational problem, one based
on the variational Split-Bregman idea and three based on direct solution of the
discretise-optimization problem. Numerical experiments show that, in terms of
restoration quality and solution efficiency, the proposed model can produce
highly competitive results, for smooth images, to two established high order
models: the mean curvature and the total generalized variation.Comment: 26 page
On Optimization of Dynamical Material Flow Systems Using Simulation
Up until now risk analysis, as a rule, ended with the estimation of the risks. Further improvements -- optimal design, risk control, dynamic risk management -- require many more efforts. Essential difficulties are connected with the discontinuous or nonsmooth behavior of performance functions with respect to the control and (or) random parameters due to possible failures of the system's parts. Usually, the systems also include discrete event elements -- logical rules can change the structure of the system if some constraints are not satisfied, for example safety constraints. These problems require new formal analysis tools which will include dynamics, stochastics, nonsmoothness and discontinuity.
In this paper, the authors consider a simple example of such a problem with the aim to explore the possibilities for its analysis. The problem is comprised of optimizing a material flow system based on an efficient use of simulation. The material flow system may be a production system, a distribution system or a pollutant-deposit/removal system. The important characteristic which is considered in this paper is that one of the components of the dynamic system is unreliable. This characteristic leads to simulation models in which criteria are discontinuous with respect to the optimization parameters. This makes it difficult to use the standard methods for the estimation of gradients of the expected criteria values. A method is introduced which overcomes the difficulty. From a formal point of view the problem can be viewed as a mixed integer stochastic optimization problem
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