Random convex programs with L₁-regularization: sparsity and generalization
Random convex programs are convex optimization problems that are robust with respect to the finite number of randomly sampled instances of an uncertain variable. Random convex problems, with uncertainties in the objective function, are considered. \(L_1\)-regularization is applied to shrink the number of optimization variables. Generalization property of such regularization is demonstrated. The favorable property of the method propose is that the knowledge of the probability distribution of the involved random variables.
- Random convex programs
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- Randomized projection methods for convex feasibility: conditioning and convergence rates
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- Convergences of regularized algorithms and stochastic gradient methods with random projections
- Random algorithms for convex minimization problems
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- Random Laplacian matrices and convex relaxations
- Randomized first order algorithms with applications to \(\ell _{1}\)-minimization
- Stochastic proximal methods for non-smooth non-convex constrained sparse optimization
- Data-driven robust optimization
- Risk and complexity in scenario optimization
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- Living on the edge: phase transitions in convex programs with random data
- On Conditional Risk Assessments in Scenario Optimization
- Parametric scenario optimization under limited data: a distributionally robust optimization view
- Non-convex scenario optimization
- Wait-and-judge scenario optimization
- Distributionally robust optimization
- Regularized optimization with spatial coupling for robust decision making
- Towards efficient optimization of sparse regularized separable nonlinear problems: a novel decoupled strategy
- Data-driven estimation in equilibrium using inverse optimization
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