748 research outputs found
Conic Optimization Theory: Convexification Techniques and Numerical Algorithms
Optimization is at the core of control theory and appears in several areas of
this field, such as optimal control, distributed control, system
identification, robust control, state estimation, model predictive control and
dynamic programming. The recent advances in various topics of modern
optimization have also been revamping the area of machine learning. Motivated
by the crucial role of optimization theory in the design, analysis, control and
operation of real-world systems, this tutorial paper offers a detailed overview
of some major advances in this area, namely conic optimization and its emerging
applications. First, we discuss the importance of conic optimization in
different areas. Then, we explain seminal results on the design of hierarchies
of convex relaxations for a wide range of nonconvex problems. Finally, we study
different numerical algorithms for large-scale conic optimization problems.Comment: 18 page
Chordal Decomposition in Rank Minimized Semidefinite Programs with Applications to Subspace Clustering
Semidefinite programs (SDPs) often arise in relaxations of some NP-hard
problems, and if the solution of the SDP obeys certain rank constraints, the
relaxation will be tight. Decomposition methods based on chordal sparsity have
already been applied to speed up the solution of sparse SDPs, but methods for
dealing with rank constraints are underdeveloped. This paper leverages a
minimum rank completion result to decompose the rank constraint on a single
large matrix into multiple rank constraints on a set of smaller matrices. The
re-weighted heuristic is used as a proxy for rank, and the specific form of the
heuristic preserves the sparsity pattern between iterations. Implementations of
rank-minimized SDPs through interior-point and first-order algorithms are
discussed. The problem of subspace clustering is used to demonstrate the
computational improvement of the proposed method.Comment: 6 pages, 6 figure
Multiclass Total Variation Clustering
Ideas from the image processing literature have recently motivated a new set
of clustering algorithms that rely on the concept of total variation. While
these algorithms perform well for bi-partitioning tasks, their recursive
extensions yield unimpressive results for multiclass clustering tasks. This
paper presents a general framework for multiclass total variation clustering
that does not rely on recursion. The results greatly outperform previous total
variation algorithms and compare well with state-of-the-art NMF approaches
Low-rank optimization for semidefinite convex problems
We propose an algorithm for solving nonlinear convex programs defined in
terms of a symmetric positive semidefinite matrix variable . This algorithm
rests on the factorization , where the number of columns of Y fixes
the rank of . It is thus very effective for solving programs that have a low
rank solution. The factorization evokes a reformulation of the
original problem as an optimization on a particular quotient manifold. The
present paper discusses the geometry of that manifold and derives a second
order optimization method. It furthermore provides some conditions on the rank
of the factorization to ensure equivalence with the original problem. The
efficiency of the proposed algorithm is illustrated on two applications: the
maximal cut of a graph and the sparse principal component analysis problem.Comment: submitte
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