Upcoming Events
INFORMS Chapter Distinguished Speaker Spring 2021
Title: Dual Randomized Coordinate Descent Method for Solving a Class of Nonconvex Problems
Speaker: Dr. Amir Beck, Tel-Aviv University
Time: Tuesday, May 4, 2021, 11:00 a.m.
Zoom: https://lehigh.zoom.us/j/93270121725
Abstract:
We consider a nonconvex optimization problem consisting of maximizing the difference of two convex functions. We present a randomized method that requires low computational effort at each iteration. The described method is a randomized coordinate descent method employed on the so-called Toland-dual problem. We prove subsequence convergence to dual stationary points, a new notion that we introduce and shown to be tighter than the standard criticality. Almost sure rate of convergence of an optimality measure of the dual sequence is proven. We demonstrate the potential of our results on three Principal Component Analysis (PCA) models resulting in extremely simple algorithms.
Bio:
Amir Beck is a Professor in the School of Mathematical Sciences at Tel-Aviv University. He has published numerous papers, has given invited lectures at international conferences, and was awarded the Salomon Simon Mani Award for Excellence in Teaching and the Henry Taub Research Prize. His research interests are in continuous optimization, including theory, algorithmic analysis, and applications. He is an associate editor of Mathematics of Operations Research, Mathematical Programming Series A, Mathematical Programming Series B, SIAM Journal on Optimization, the Journal of Optimization Theory and Applications and was an area editor for optimization in Operations Research. His research has been supported by various funding agencies, including the Israel Science Foundation, the German-Israeli Foundation, the Binational US-Israel foundation, the Israeli Science and Energy Ministries and the European community.
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