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01/06/2023
A Levenberg-Marquardt Method for Nonsmooth Regularized Least Squares
We develop a Levenberg-Marquardt method for minimizing the sum of a smoo...
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08/16/2022
On GSOR, the Generalized Successive Overrelaxation Method for Double Saddle-Point Problems
We consider the generalized successive overrelaxation (GSOR) method for ...
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06/14/2022
A Stochastic Proximal Method for Nonsmooth Regularized Finite Sum Optimization
We consider the problem of training a deep neural network with nonsmooth...
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06/07/2022
A semi-conjugate gradient method for solving unsymmetric positive definite linear systems
The conjugate gradient (CG) method is a classic Krylov subspace method f...
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04/11/2022
Computing a Sparse Projection into a Box
We describe a procedure to compute a projection of w ∈ℝ^n into the inter...
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11/29/2021
Adaptive First- and Second-Order Algorithms for Large-Scale Machine Learning
In this paper, we consider both first- and second-order techniques to ad...
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11/13/2021
GPMR: An Iterative Method for Unsymmetric Partitioned Linear Systems
We introduce an iterative method named GPMR for solving 2x2 block unsymm...
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01/06/2021
A Julia implementation of Algorithm NCL for constrained optimization
Algorithm NCL is designed for general smooth optimization problems where...
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12/10/2020
Stochastic Damped L-BFGS with Controlled Norm of the Hessian Approximation
We propose a new stochastic variance-reduced damped L-BFGS algorithm, wh...
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08/28/2020
TriCG and TriMR: Two Iterative Methods for Symmetric Quasi-Definite Systems
We introduce iterative methods named TriCG and TriMR for solving symmetr...
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12/03/2019
Implementing a smooth exact penalty function for general constrained nonlinear optimization
We build upon Estrin et al. (2019) to develop a general constrained nonl...
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10/09/2019
Implementing a smooth exact penalty function for equality-constrained nonlinear optimization
We develop a general equality-constrained nonlinear optimization algorit...
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10/07/2019
BiLQ: An Iterative Method for Nonsymmetric Linear Systems with a Quasi-Minimum Error Property
We introduce an iterative method named BiLQ for solving general square l...
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10/07/2019