MM optimization algorithms
Solving optimization problems iteratively by sequentially replacing the original problem by simpler auxiliary optimization problems, obtained e.g. by replacing the objective and constraint functions by simpler functions, is a well known standard method in optimization.NEWLINENEWLINEHere, optimization procedures, called ``MM algorithms, are considered for solving optimization problems iteratively by approximating first the objective function at each iteration point \(x_n\) from above, below, resp., and minimizing, maximizing then the upper, lower, resp., approximate objective function. Hence, ``MM means ``majorization-minimization for a minimization problem and ``minorization-maximization for a maximization problem. Related approximation and optimization methods have been suggested already earlier in the literature on operations research and stochastic optimization, as e.g. the construction of convex, concave, resp., tangent functions to the objective function at each iteration point \(x_n\). Because of the joint gradient of the objective function and its approximation, and the coinciding function values at \(x_n\), descent, ascent directions, resp., may be obtained and corresponding algorithms can be constructed. Further known A\&O methods are based on second order approximation of functions, inner linearization of composed objective functions and on the construction of efficient/stationary points.NEWLINENEWLINEAfter presenting first examples for optimization by means of majorization, minorization of the objective function in Chapter 1, in the following chapters tools from calculus and optimization theory are examined for finding appropriate approximations of functions: Convex sets and convex functions, basic inequalities, applications of different types of differentials in optimization, etc., are reviewed in Chapters 2 and 3. A selection of available techniques for majorization and minorization of functions are given in Chapter 4. Applications of the projection technique to the treatment of constrained optimization problems as well as applications of proximal maps to the approximation method under consideration can be found in Chapter 5. Applications of the MM approximation and optimization procedure to problems in regression and multivariate analysis are discussed in Chapter 6. Convergence properties of the proposed method are studied in the last Chapter 7. Each chapter contains many problems for solving by the reader, furthermore, many references are given. Readers of this interesting book need good knowledge in calculus, linear algebra and optimization theory and its applications.
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- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
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- A comparison of optimization solvers for log binomial regression including conic programming
- Randomization and reweighted _1-minimization for A-optimal design of linear inverse problems
- MM Algorithms for Variance Components Models
- Regularizing with Bregman-Moreau envelopes
- Composite difference-MAX programs for modern statistical estimation problems
- Projecting onto the Intersection of a Cone and a Sphere
- The proximal distance algorithm
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- An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression
- Iteratively reweighted group Lasso based on log-composite regularization
- Optimal $k$-Thresholding Algorithms for Sparse Optimization Problems
- An assembly and decomposition approach for constructing separable minorizing functions in a class of MM algorithms
- Estimation of individualized decision rules based on an optimized covariate-dependent equivalent of random outcomes
- Proximal distance algorithms: theory and practice
- Orthogonal Trace-Sum Maximization: Tightness of the Semidefinite Relaxation and Guarantee of Locally Optimal Solutions
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- A Legacy of EM Algorithms
- A computational framework for edge-preserving regularization in dynamic inverse problems
- A unified analysis of convex and non-convex \(\ell_p\)-ball projection problems
- A fast and efficient estimation of the parameters of a model of accident frequencies via an MM algorithm
- Doubly iteratively reweighted algorithm for constrained compressed sensing models
- A Likelihood-Based Approach for Multivariate Categorical Response Regression in High Dimensions
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- Robust variable selection and estimation via adaptive elastic net S-estimators for linear regression
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- Locally Sparse Function-on-Function Regression
- Algorithms for Sparse Support Vector Machines
- Some results on OMP algorithm for MMV problem
- A majorization-minimization algorithm for neuroimage registration
- An MM algorithm to estimate parameters in continuous-time Markov chains
- Unified robust estimation
- The appeals of quadratic majorization-minimization
- Probabilistic control and majorisation of optimal control
- Multiplicative updates for symmetric-cone factorizations
- A globally convergent inertial first-order optimization method for multidimensional scaling
- Active-set strategy based on a general modified Newton-Raphson algorithm for variable selection in highly ill-posed inverse problems
- Nonconvex SVM for cancer diagnosis based on morphologic features of tumor microenvironment
- A Sharper Computational Tool for Regression
- Min-max framework for majorization-minimization algorithms in signal processing applications: an overview
- The stochastic proximal distance algorithm
- A semiparametric space-time quantile regression model
- A nonconvex optimization method for dynamic photoacoustic tomography reconstruction with simultaneous motion estimation
- An iterative algorithm for the square-root Lasso
- Sequential sample average majorization-minimization
- Randomized block coordinate DC algorithm
- An optimal lower bound for smooth convex functions
- Estimating multiple quantile surfaces: a penalized functional approach
- A Majorization-Minimization Gauss-Newton Method for 1-Bit Matrix Completion
- Variable selection in AUC-optimizing classification
- Smooth and shape-constrained quantile distributed lag models
- Multiplicative algorithms for density combination and deconvolution
- Influence network reconstruction from discrete time-series of count data modelled by multidimensional Hawkes processes
- Sparse vertex discriminant analysis: variable selection for biomedical classification applications
- Quasi-Newton Acceleration of EM and MM Algorithms via Broyden’s Method
- Iterative methods for projection onto the ℓ p quasi-norm ball
- TRIPs-Py: techniques for regularization of inverse problems in Python
- Minimization by incremental stochastic surrogate optimization for large scale nonconvex problems
- A Cornucopia of Maximum Likelihood Algorithms
- Minimization over the _p ball using a hybrid first-order method
- EM algorithms for optimization problems with polynomial objectives
- Policy optimization for reinforcement learning in continuous time and space
- Rejection sampling with vertical weighted strips
- On the use of M-quantiles for outlier detection in multidimensional data
- Conditional Probability Tensor Decompositions for Multivariate Categorical Response Regression
- The upper-crossing/solution (US) algorithm with strongly stable convergence and an acceleration technique for root-finding problems
- Unsupervised sparse multi-task learning with application to Alzheimer's disease
- Discontinuous Galerkin method for electrical impedance tomography based on sparsity regularization with Adam
- Majorization as a tool for optimizing a class of matrix functions
- MM for penalized estimation
- On the spherical quasi-convexity of quadratic functions on spherically subdual convex sets
- The MM alternative to EM
- Sharp quadratic majorization in one dimension
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