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233
Smooth minimization of nonsmooth functions
 Math. Programming
, 2005
"... In this paper we propose a new approach for constructing efficient schemes for nonsmooth convex optimization. It is based on a special smoothing technique, which can be applied to the functions with explicit maxstructure. Our approach can be considered as an alternative to blackbox minimization. F ..."
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Cited by 254 (0 self)
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In this paper we propose a new approach for constructing efficient schemes for nonsmooth convex optimization. It is based on a special smoothing technique, which can be applied to the functions with explicit maxstructure. Our approach can be considered as an alternative to blackbox minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from O unchanged. 1 ɛ 2 to O
The impact of imperfect scheduling on crosslayer congestion control in wireless networks
, 2005
"... In this paper, we study crosslayer design for congestion control in multihop wireless networks. In previous work, we have developed an optimal crosslayer congestion control scheme that jointly computes both the rate allocation and the stabilizing schedule that controls the resources at the under ..."
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Cited by 220 (16 self)
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In this paper, we study crosslayer design for congestion control in multihop wireless networks. In previous work, we have developed an optimal crosslayer congestion control scheme that jointly computes both the rate allocation and the stabilizing schedule that controls the resources at the underlying layers. However, the scheduling component in this optimal crosslayer congestion control scheme has to solve a complex global optimization problem at each time, and is hence too computationally expensive for online implementation. In this paper, we study how the performance of crosslayer congestion control will be impacted if the network can only use an imperfect (and potentially distributed) scheduling component that is easier to implement. We study both the case when the number of users in the system is fixed and the case with dynamic arrivals and departures of the users, and we establish performance bounds of crosslayer congestion control with imperfect scheduling. Compared with a layered approach that does not design congestion control and scheduling together, our crosslayer approach has provably better performance bounds, and substantially outperforms the layered approach. The insights drawn from our analyses also enable us to design a fully distributed crosslayer congestion control and scheduling algorithm for a restrictive interference model.
Optimization of Conditional ValueatRisk
 Journal of Risk
, 2000
"... A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional ValueatRisk (CVaR) rather than minimizing ValueatRisk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR ..."
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Cited by 204 (18 self)
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A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional ValueatRisk (CVaR) rather than minimizing ValueatRisk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR, also called Mean Excess Loss, Mean Shortfall, or Tail VaR, is anyway considered to be a more consistent measure of risk than VaR. Central to the new approach is a technique for portfolio optimization which calculates VaR and optimizes CVaR simultaneously. This technique is suitable for use by investment companies, brokerage rms, mutual funds, and any business that evaluates risks. It can be combined with analytical or scenariobased methods to optimize portfolios with large numbers of instruments, in which case the calculations often come down to linear programming or nonsmooth programming. The methodology can be applied also to the optimization of percentiles in contexts outside of nance.
Fast Linear Iterations for Distributed Averaging
 Systems and Control Letters
, 2003
"... We consider the problem of finding a linear iteration that yields distributed averaging consensus over a network, i.e., that asymptotically computes the average of some initial values given at the nodes. When the iteration is assumed symmetric, the problem of finding the fastest converging linear ..."
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Cited by 195 (11 self)
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We consider the problem of finding a linear iteration that yields distributed averaging consensus over a network, i.e., that asymptotically computes the average of some initial values given at the nodes. When the iteration is assumed symmetric, the problem of finding the fastest converging linear iteration can be cast as a semidefinite program, and therefore efficiently and globally solved. These optimal linear iterations are often substantially faster than several common heuristics that are based on the Laplacian of the associated graph.
An interiorpoint method for largescale l1regularized logistic regression
 Journal of Machine Learning Research
, 2007
"... Logistic regression with ℓ1 regularization has been proposed as a promising method for feature selection in classification problems. In this paper we describe an efficient interiorpoint method for solving largescale ℓ1regularized logistic regression problems. Small problems with up to a thousand ..."
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Cited by 156 (5 self)
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Logistic regression with ℓ1 regularization has been proposed as a promising method for feature selection in classification problems. In this paper we describe an efficient interiorpoint method for solving largescale ℓ1regularized logistic regression problems. Small problems with up to a thousand or so features and examples can be solved in seconds on a PC; medium sized problems, with tens of thousands of features and examples, can be solved in tens of seconds (assuming some sparsity in the data). A variation on the basic method, that uses a preconditioned conjugate gradient method to compute the search step, can solve very large problems, with a million features and examples (e.g., the 20 Newsgroups data set), in a few minutes, on a PC. Using warmstart techniques, a good approximation of the entire regularization path can be computed much more efficiently than by solving a family of problems independently.
On Projection Algorithms for Solving Convex Feasibility Problems
, 1996
"... Due to their extraordinary utility and broad applicability in many areas of classical mathematics and modern physical sciences (most notably, computerized tomography), algorithms for solving convex feasibility problems continue to receive great attention. To unify, generalize, and review some of the ..."
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Cited by 146 (24 self)
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Due to their extraordinary utility and broad applicability in many areas of classical mathematics and modern physical sciences (most notably, computerized tomography), algorithms for solving convex feasibility problems continue to receive great attention. To unify, generalize, and review some of these algorithms, a very broad and flexible framework is investigated . Several crucial new concepts which allow a systematic discussion of questions on behaviour in general Hilbert spaces and on the quality of convergence are brought out. Numerous examples are given. 1991 M.R. Subject Classification. Primary 47H09, 49M45, 6502, 65J05, 90C25; Secondary 26B25, 41A65, 46C99, 46N10, 47N10, 52A05, 52A41, 65F10, 65K05, 90C90, 92C55. Key words and phrases. Angle between two subspaces, averaged mapping, Cimmino's method, computerized tomography, convex feasibility problem, convex function, convex inequalities, convex programming, convex set, Fej'er monotone sequence, firmly nonexpansive mapping, H...
Performance Analysis and Optimization of Asynchronous Circuits
, 1991
"... We present a method for analyzing the time performance of asynchronous circuits, in particular, those derived by program transformation from concurrent programs using the synthesis approach developed by the second author. The analysis method produces a performance metric (related to the time needed ..."
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Cited by 136 (7 self)
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We present a method for analyzing the time performance of asynchronous circuits, in particular, those derived by program transformation from concurrent programs using the synthesis approach developed by the second author. The analysis method produces a performance metric (related to the time needed to perform an operation) in terms of the primitive gate delays of the circuit. Such a metric provides a quantitative means by which to compare competing designs. Because the gate delays are functions of transistor sizes, the performance metric can be optimized with respect to these sizes. For a large class of asynchronous circuitsincluding those produced by using our synthesis methodthese techniques produce the global optimum of the performance metric. A CAD tool has been implemented to perform this optimization. 1 Introduction Performance analysis of a synchronous computer system is simplified by an external clock that partitions the events in the system into discrete segments. In a...
Simultaneous Routing and Resource Allocation via Dual Decomposition
, 2004
"... In wireless data networks the optimal routing of data depends on the link capacities which, in turn, are determined by the allocation of communications resources (such as transmit powers and bandwidths) to the links. The optimal performance of the network can only be achieved by simultaneous optimi ..."
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Cited by 107 (4 self)
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In wireless data networks the optimal routing of data depends on the link capacities which, in turn, are determined by the allocation of communications resources (such as transmit powers and bandwidths) to the links. The optimal performance of the network can only be achieved by simultaneous optimization of routing and resource allocation. In this paper, we formulate the simultaneous routing and resource allocation problem and exploit problem structure to derive ef£cient solution methods. We use a capacitated multicommodity flow model to describe the data ¤ows in the network. We assume that the capacity of a wireless link is a concave and increasing function of the communications resources allocated to the link, and the communications resources for groups of links are limited. These assumptions allow us to formulate the simultaneous routing and resource allocation problem as a convex optimization problem over the network flow variables and the communications variables. These two sets of variables are coupled only through the link capacity constraints. We exploit this separable structure by dual decomposition. The resulting solution method attains the optimal coordination of data routing in the network layer and resource allocation in the radio control layer via pricing on the link capacities.
Maximum margin planning
 In Proceedings of the 23rd International Conference on Machine Learning (ICML’06
, 2006
"... Imitation learning of sequential, goaldirected behavior by standard supervised techniques is often difficult. We frame learning such behaviors as a maximum margin structured prediction problem over a space of policies. In this approach, we learn mappings from features to cost so an optimal policy in ..."
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Cited by 106 (26 self)
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Imitation learning of sequential, goaldirected behavior by standard supervised techniques is often difficult. We frame learning such behaviors as a maximum margin structured prediction problem over a space of policies. In this approach, we learn mappings from features to cost so an optimal policy in an MDP with these cost mimics the expert’s behavior. Further, we demonstrate a simple, provably efficient approach to structured maximum margin learning, based on the subgradient method, that leverages existing fast algorithms for inference. Although the technique is general, it is particularly relevant in problems where A * and dynamic programming approaches make learning policies tractable in problems beyond the limitations of a QP formulation. We demonstrate our approach applied to route planning for outdoor mobile robots, where the behavior a designer wishes a planner to execute is often clear, while specifying cost functions that engender this behavior is a much more difficult task. 1.