Subsampling Algorithms for Semidefinite Programming

We derive a stochastic gradient algorithm for semidefinite optimization using randomization techniques. The algorithm uses subsampling to reduce the computational cost of each iteration and the subsampling ratio explicitly controls granularity, i.e. the tradeoff between cost per iteration and total number of iterations. Furthermore, the total computational cost is directly proportional to the complexity (i.e. rank) of the solution. We study numerical performance on some large-scale problems arising in statistical learning.Comment: Final version, to appear in Stochastic System

Stochastic optimization methods for the simultaneous control of parameter-dependent systems

We address the application of stochastic optimization methods for the simultaneous control of parameter-dependent systems. In particular, we focus on the classical Stochastic Gradient Descent (SGD) approach of Robbins and Monro, and on the recently developed Continuous Stochastic Gradient (CSG) algorithm. We consider the problem of computing simultaneous controls through the minimization of a cost functional defined as the superposition of individual costs for each realization of the system. We compare the performances of these stochastic approaches, in terms of their computational complexity, with those of the more classical Gradient Descent (GD) and Conjugate Gradient (CG) algorithms, and we discuss the advantages and disadvantages of each methodology. In agreement with well-established results in the machine learning context, we show how the SGD and CSG algorithms can significantly reduce the computational burden when treating control problems depending on a large amount of parameters. This is corroborated by numerical experiments

Optimized Compressed Sensing Matrix Design for Noisy Communication Channels

We investigate a power-constrained sensing matrix design problem for a compressed sensing framework. We adopt a mean square error (MSE) performance criterion for sparse source reconstruction in a system where the source-to-sensor channel and the sensor-to-decoder communication channel are noisy. Our proposed sensing matrix design procedure relies upon minimizing a lower-bound on the MSE. Under certain conditions, we derive closed-form solutions to the optimization problem. Through numerical experiments, by applying practical sparse reconstruction algorithms, we show the strength of the proposed scheme by comparing it with other relevant methods. We discuss the computational complexity of our design method, and develop an equivalent stochastic optimization method to the problem of interest that can be solved approximately with a significantly less computational burden. We illustrate that the low-complexity method still outperforms the popular competing methods.Comment: Submitted to IEEE ICC 2015 (EXTENDED VERSION