One to beat them all: "RYU'' -- a unifying framework for the construction of safe balls

In this paper, we put forth a novel framework (named ``RYU'') for the construction of ``safe'' balls, i.e. regions that provably contain the dual solution of a target optimization problem. We concentrate on the standard setup where the cost function is the sum of two terms: a closed, proper, convex Lipschitz-smooth function and a closed, proper, convex function. The RYU framework is shown to generalize or improve upon all the results proposed in the last decade for the considered family of optimization problems.

Safe peeling for l0-regularized least-squares with supplementary material

We introduce a new methodology dubbed ``safe peeling'' to accelerate the resolution of L0-regularized least-squares problems via a Branch-and-Bound (BnB) algorithm. Our procedure enables to tighten the convex relaxation considered at each node of the BnB decision tree and therefore potentially allows for more aggressive pruning. Numerical simulations show that our proposed methodology leads to significant gains in terms of number of nodes explored and overall solving time.s show that our proposed methodology leads to significant gains in terms of number of nodes explored and overall solving time.

Beyond GAP screening for Lasso by exploiting new dual cutting half-spaces with supplementary material

In this paper, we propose a novel safe screening test for Lasso. Our procedure is based on a safe region with a dome geometry and exploits a canonical representation of the set of half-spaces (referred to as "dual cutting half-spaces" in this paper) containing the dual feasible set. The proposed safe region is shown to be always included in the state-of-the-art "GAP Sphere" and "GAP Dome" proposed by Fercoq et al. (and strictly so under very mild conditions) while involving the same computational burden. Numerical experiments confirm that our new dome enables to devise more powerful screening tests than GAP regions and lead to significant acceleration to solve Lasso.

Safe rules for the identification of zeros in the solutions of the SLOPE problem

In this paper we propose a methodology to accelerate the resolution of the so-called ``Sorted L-One Penalized Estimation'' (SLOPE) problem. Our method leverages the concept of ``safe screening'', well-studied in the literature for \textit{group-separable} sparsity-inducing norms, and aims at identifying the zeros in the solution of SLOPE. More specifically, we introduce a family of \(n!\) safe screening rules for this problem, where \(n\) is the dimension of the primal variable, and propose a tractable procedure to verify if one of these tests is passed. Our procedure has a complexity \(\mathcal{O}(n\log n + LT)\) where \(T\leq n\) is a problem-dependent constant and \(L\) is the number of zeros identified by the tests. We assess the performance of our proposed method on a numerical benchmark and emphasize that it leads to significant computational savings in many setups.

Node-screening tests for L0-penalized least-squares problem with supplementary material

We present a novel screening methodology to safely discard irrelevant nodes within a generic branch-and-bound (BnB) algorithm solving the \(\ell_0\)-penalized least-squares problem. Our contribution is a set of two simple tests to detect sets of feasible vectors that cannot yield optimal solutions. This allows to prune nodes of the BnB exploration tree, thus reducing the overall solution time. One cornerstone of our contribution is a nesting property between tests at different nodes that allows to implement screening at low computational cost. Our work leverages the concept of safe screening, well known for sparsity-inducing convex problems, and some recent advances in this field for \(\ell_0\)-penalized regression problems.

Safe squeezing for antisparse coding

Spreading the information over all coefficients of a representation is a desirable property in many applications such as digital communication or machine learning. This so-called antisparse representation can be obtained by solving a convex program involving an $\ell_\infty$-norm penalty combined with a quadratic discrepancy. In this paper, we propose a new methodology, dubbed safe squeezing, to accelerate the computation of antisparse representation. We describe a test that allows to detect saturated entries in the solution of the optimization problem. The contribution of these entries is compacted into a single vector, thus operating a form of dimensionality reduction. We propose two algorithms to solve the resulting lower dimensional problem. Numerical experiments show the effectiveness of the proposed method to detect the saturated components of the solution and illustrates the induced computational gains in the resolution of the antisparse problem.

Optimal Low-Rank Dynamic Mode Decomposition

Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This extension is of particular interest for reduced-order modeling in various applicative domains, e.g. for climate prediction, to study molecular dynamics or micro-electromechanical devices. This low-rank extension takes the form of a non-convex optimization problem. To the best of our knowledge, only sub-optimal algorithms have been proposed in the literature to compute the solution of this problem. In this paper, we prove that there exists a closed-form optimal solution to this problem and design an effective algorithm to compute it based on Singular Value Decomposition (SVD). A toy-example illustrates the gain in performance of the proposed algorithm compared to state-of-the-art techniques.

Reduced-Order Modeling Of Hidden Dynamics

The objective of this paper is to investigate how noisy and incomplete observations can be integrated in the process of building a reduced-order model. This problematic arises in many scientific domains where there exists a need for accurate low-order descriptions of highly-complex phenomena, which can not be directly and/or deterministically observed. Within this context, the paper proposes a probabilistic framework for the construction of "POD-Galerkin" reduced-order models. Assuming a hidden Markov chain, the inference integrates the uncertainty of the hidden states relying on their posterior distribution. Simulations show the benefits obtained by exploiting the proposed framework.

Optimal Kernel-Based Dynamic Mode Decomposition

The state-of-the-art algorithm known as kernel-based dynamic mode decomposition (K-DMD) provides a sub-optimal solution to the problem of reduced modeling of a dynamical system based on a finite approximation of the Koopman operator. It relies on crude approximations and on restrictive assumptions. The purpose of this work is to propose a kernel-based algorithm solving exactly this low-rank approximation problem in a general setting.