Forward-backward truncated Newton methods for convex composite optimization

This paper proposes two proximal Newton-CG methods for convex nonsmooth optimization problems in composite form. The algorithms are based on a a reformulation of the original nonsmooth problem as the unconstrained minimization of a continuously differentiable function, namely the forward-backward envelope (FBE). The first algorithm is based on a standard line search strategy, whereas the second one combines the global efficiency estimates of the corresponding first-order methods, while achieving fast asymptotic convergence rates. Furthermore, they are computationally attractive since each Newton iteration requires the approximate solution of a linear system of usually small dimension

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

Studies of Classical and Quantum Annealing

A summary of the results of recent applications of PIMC-QA on different optimization problems is given in Chapter 1. In order to gain understanding on these problems, we have moved one step back, and concentrated attention on the simplest textbook problems where the energy landscape is well under control: essentially, one-dimensional potentials, starting from a double-well potential, the simplest form of barrier. On these well controlled landscapes we have carried out a detailed and exhaustive comparison between quantum adiabatic Schr\uf6dinger evolution, both in real and in imaginary time, and its classical deterministic counterpart, i.e., Fokker-Planck evolution [17]. This work will be illustrated in Chapter 2. On the same double well-potential, we have also studied the performance of different stochastic annealing approaches, both classical Monte Carlo annealing and PIMCQA. The CA work is illustrated in Chapter 3, where we analyze the different annealing behaviors of three possible types of Monte Carlo moves (with Box, Gaussian, and Lorentzian distributions) in a numerical and analytical way. The PIMC-QA work is illustrated in Chapter 4, were we show the difficulties that a state-of-the-art PIMCQA algorithm can encounter in describing tunneling even in a simple landscape, and we also investigate the role of the kinetic energy choice, by comparing the standard non-relativistic dispersion, Hkin = Tau(t)p^2, with a relativistic one, Hkin = Tau(t)|p|, which turns out to be definitely more effective. In view of the difficulties encountered by PIMC-QA even in a simple double-well potential, we finally explored the capabilities of another well established QMC technique, the Green's Function Monte Carlo (GFMC), as a base for a QA algorithm. This time, we concentrated our attention on a very studied and challenging optimization problem, the random Ising model ground state search, for which both CA and PIMC-QA data are available [10, 11]. A more detailed summary of the results and achievements described in this Thesis, and a discussion of open issues, is contained in the final section `Conclusions and Perspectives'. Finally, in order to keep this Thesis as self-contained as possible, we include in the appendices a large amount of supplemental material

A Simple and Efficient Algorithm for Nonlinear Model Predictive Control

We present PANOC, a new algorithm for solving optimal control problems arising in nonlinear model predictive control (NMPC). A usual approach to this type of problems is sequential quadratic programming (SQP), which requires the solution of a quadratic program at every iteration and, consequently, inner iterative procedures. As a result, when the problem is ill-conditioned or the prediction horizon is large, each outer iteration becomes computationally very expensive. We propose a line-search algorithm that combines forward-backward iterations (FB) and Newton-type steps over the recently introduced forward-backward envelope (FBE), a continuous, real-valued, exact merit function for the original problem. The curvature information of Newton-type methods enables asymptotic superlinear rates under mild assumptions at the limit point, and the proposed algorithm is based on very simple operations: access to first-order information of the cost and dynamics and low-cost direct linear algebra. No inner iterative procedure nor Hessian evaluation is required, making our approach computationally simpler than SQP methods. The low-memory requirements and simple implementation make our method particularly suited for embedded NMPC applications

Strong electronic correlation in the Hydrogen chain: a variational Monte Carlo study

In this article, we report a fully ab initio variational Monte Carlo study of the linear, and periodic chain of Hydrogen atoms, a prototype system providing the simplest example of strong electronic correlation in low dimensions. In particular, we prove that numerical accuracy comparable to that of benchmark density matrix renormalization group calculations can be achieved by using a highly correlated Jastrow-antisymmetrized geminal power variational wave function. Furthermore, by using the so-called "modern theory of polarization" and by studying the spin-spin and dimer-dimer correlations functions, we have characterized in details the crossover between the weakly and strongly correlated regimes of this atomic chain. Our results show that variational Monte Carlo provides an accurate and flexible alternative to highly correlated methods of quantum chemistry which, at variance with these methods, can be also applied to a strongly correlated solid in low dimensions close to a crossover or a phase transition.Comment: 7 pages, 4 figures, submitted to Physical Review