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math.OC2023
Variational Principles for Mirror Descent and Mirror Langevin Dynamics
Belinda Tzen, Anant Raj, Maxim Raginsky +1
Mirror descent, introduced by Nemirovski and Yudin in the 1970s, is a primal-dual convex optimization method that can be tailored to the geometry of the optimization problem at han…
math.OC2016★ 5 cited
Screening Rules for Convex Problems
Anant Raj, Jakob Olbrich, Bernd Gärtner +2
We propose a new framework for deriving screening rules for convex optimization problems. Our approach covers a large class of constrained and penalized optimization formulations,…