Approximate methods for phase retrieval via gauge duality

约束含数据不确定性的非光滑区间值多目标优化中的近似Pareto解研究

On approximate Pareto solutions in nonsmooth interval-valued multiobjective optimization with data uncertainty in constraints

针对约束含数据不确定性的非光滑区间值多目标优化问题，定义多类近似Pareto解，推导其最优性条件与对偶关系，为含不确定约束的区间值多目标优化提供理论支撑。

Low-rank spectral optimization via gauge duality

Various applications in signal processing and machine learning give rise to highly structured spectral optimization problems characterized by low-rank solutions. Two important examples that motivate this work are optimization problems from phase retrieval and from blind deconvolution, which are designed to yield rank-1 solutions. An algorithm is described that is based on solving a certain constrained eigenvalue optimization problem that corresponds to the gauge dual which, unlike the more typical Lagrange dual, has an especially simple constraint. The dominant cost at each iteration is the co…

Duality and approximation of stochastic optimal control problems under expectation constraints

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is in duality with an optimization problem involving the Lagrange multiplier associated with the constraints. Then by convex analysis techniques, we provide a general existence result and some a priori estimation of the dual optimizers. We further provide a necessary and sufficient optimality condition for the initial constrained control problem. The same result…

Bounding Duality Gap for Separable Problems with Linear Constraints

We consider the problem of minimizing a sum of non-convex functions over a compact domain, subject to linear inequality and equality constraints. Approximate solutions can be found by solving a convexified version of the problem, in which each function in the objective is replaced by its convex envelope. We propose a randomized algorithm to solve the convexified problem which finds an $ε$-suboptimal solution to the original problem. With probability one, $ε$ is bounded by a term proportional to the maximal number of active constraints in the problem. The bound does not depend on the number of …

Asplund空间中复合不确定多目标优化的鲁棒最优性与对偶性及其应用

Robust optimality and duality for composite uncertain multiobjective optimization in Asplund spaces with its applications

本文在Asplund空间下研究复合不确定多目标优化问题，通过变分分析技术建立鲁棒有效解的最优性条件，构造Mond-Weir型鲁棒对偶并分析相关性质，最终将结果应用于两类不确定优化问题。

Duality of convex relaxations for constrained variational problems

We prove weak duality between two recent convex relaxation methods for bounding the optimal value of a constrained variational problem in which the objective is an integral functional. The first approach, proposed by Valmorbida et al. (IEEE Trans. Automat. Control 61(6):1649--1654, 2016), replaces the variational problem with a convex program over sufficiently smooth functions, subject to pointwise non-negativity constraints. The second approach, discussed by Korda et al. (arXiv:1804.07565v1 [math.OC]), relaxes the variational problem into a convex program over scaled probability measures. We …

Frank-Wolfe Works for Non-Lipschitz Continuous Gradient Objectives: Scalable Poisson Phase Retrieval

We study a phase retrieval problem in the Poisson noise model. Motivated by the PhaseLift approach, we approximate the maximum-likelihood estimator by solving a convex program with a nuclear norm constraint. While the Frank-Wolfe algorithm, together with the Lanczos method, can efficiently deal with nuclear norm constraints, our objective function does not have a Lipschitz continuous gradient, and hence existing convergence guarantees for the Frank-Wolfe algorithm do not apply. In this paper, we show that the Frank-Wolfe algorithm works for the Poisson phase retrieval problem, and has a global…

The empirical duality gap of constrained statistical learning

This paper is concerned with the study of constrained statistical learning problems, the unconstrained version of which are at the core of virtually all of modern information processing. Accounting for constraints, however, is paramount to incorporate prior knowledge and impose desired structural and statistical properties on the solutions. Still, solving constrained statistical problems remains challenging and guarantees scarce, leaving them to be tackled using regularized formulations. Though practical and effective, selecting regularization parameters so as to satisfy requirements is challe…

非线性本征问题的对偶视角

Duality Perspective on Nonlinear Eigenproblems

本文从对偶视角研究非线性本征问题，通过Fenchel共轭建立对偶形式，分析逆幂方法在p-齐次函数下的收敛性，并验证p-Laplace的数值实验。