No Arabic abstract
In this paper, we propose two algorithms for solving linear inverse problems when the observations are corrupted by Poisson noise. A proper data fidelity term (log-likelihood) is introduced to reflect the Poisson statistics of the noise. On the other hand, as a prior, the images to restore are assumed to be positive and sparsely represented in a dictionary of waveforms. Piecing together the data fidelity and the prior terms, the solution to the inverse problem is cast as the minimization of a non-smooth convex functional. We establish the well-posedness of the optimization problem, characterize the corresponding minimizers, and solve it by means of primal and primal-dual proximal splitting algorithms originating from the field of non-smooth convex optimization theory. Experimental results on deconvolution and comparison to prior methods are also reported.
In this paper, we propose two algorithms for solving linear inverse problems when the observations are corrupted by noise. A proper data fidelity term (log-likelihood) is introduced to reflect the statistics of the noise (e.g. Gaussian, Poisson). On the other hand, as a prior, the images to restore are assumed to be positive and sparsely represented in a dictionary of waveforms. Piecing together the data fidelity and the prior terms, the solution to the inverse problem is cast as the minimization of a non-smooth convex functional. We establish the well-posedness of the optimization problem, characterize the corresponding minimizers, and solve it by means of primal and primal-dual proximal splitting algorithms originating from the field of non-smooth convex optimization theory. Experimental results on deconvolution, inpainting and denoising with some comparison to prior methods are also reported.
We propose an algorithm-independent framework to equip existing optimization methods with primal-dual certificates. Such certificates and corresponding rate of convergence guarantees are important for practitioners to diagnose progress, in particular in machine learning applications. We obtain new primal-dual convergence rates, e.g., for the Lasso as well as many L1, Elastic Net, group Lasso and TV-regularized problems. The theory applies to any norm-regularized generalized linear model. Our approach provides efficiently computable duality gaps which are globally defined, without modifying the original problems in the region of interest.
This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex optimization problems with minimal requirements. We study the method of weighted dual averages (Nesterov, 2009) in this setting and prove that it is an optimal method.
We propose a variant of the Frank-Wolfe algorithm for solving a class of sparse/low-rank optimization problems. Our formulation includes Elastic Net, regularized SVMs and phase retrieval as special cases. The proposed Primal-Dual Block Frank-Wolfe algorithm reduces the per-iteration cost while maintaining linear convergence rate. The per iteration cost of our method depends on the structural complexity of the solution (i.e. sparsity/low-rank) instead of the ambient dimension. We empirically show that our algorithm outperforms the state-of-the-art methods on (multi-class) classification tasks.
We introduce primal and dual stochastic gradient oracle methods for decentralized convex optimization problems. Both for primal and dual oracles, the proposed methods are optimal in terms of the number of communication steps. However, for all classes of the objective, the optimality in terms of the number of oracle calls per node takes place only up to a logarithmic factor and the notion of smoothness. By using mini-batching technique, we show that the proposed methods with stochastic oracle can be additionally parallelized at each node. The considered algorithms can be applied to many data science problems and inverse problems.