We develop two fundamental stochastic sketching techniques; Penalty Sketching (PS) and Augmented Lagrangian Sketching (ALS) for solving consistent linear systems. The proposed PS and ALS techniques extend and generalize the scope of Sketch & Project (SP) method by introducing Lagrangian penalty sketches. In doing so, we recover SP methods as special cases and furthermore develop a family of new stochastic iterative methods. By varying sketch parameters in the proposed PS method, we recover novel stochastic methods such as Penalty Newton Descent, Penalty Kaczmarz, Penalty Stochastic Descent, Penalty Coordinate Descent, Penalty Gaussian Pursuit, and Penalty Block Kaczmarz. Furthermore, the proposed ALS method synthesizes a wide variety of new stochastic methods such as Augmented Newton Descent, Augmented Kaczmarz, Augmented Stochastic Descent, Augmented Coordinate Descent, Augmented Gaussian Pursuit, and Augmented Block Kaczmarz into one framework. Moreover, we show that the developed PS and ALS frameworks can be used to reformulate the original linear system into equivalent stochastic optimization problems namely the Penalty Stochastic Reformulation and Augmented Stochastic Reformulation. We prove global convergence rates for the PS and ALS methods as well as sub-linear $\mathcal{O}(\frac{1}{k})$ rates for the Cesaro average of iterates. The proposed convergence results hold for a wide family of distributions of random matrices, which provides the opportunity of fine-tuning the randomness of the method suitable for specific applications. Finally, we perform computational experiments that demonstrate the efficiency of our methods compared to the existing SP methods.
We propose two variants of Newton method for solving unconstrained minimization problem. Our method leverages optimization techniques such as penalty and augmented Lagrangian method to generate novel variants of the Newton method namely the Penalty Newton method and the Augmented Newton method. In doing so, we recover several well-known existing Newton method variants such as Damped Newton, Levenberg, and Levenberg-Marquardt methods as special cases. Moreover, the proposed Augmented Newton method can be interpreted as Newton method with adaptive heavy ball momentum. We provide global convergence results for the proposed methods under mild assumptions that hold for a wide variety of problems. The proposed methods can be sought as the penalty and augmented extensions of the results obtained by Karimireddy et. al [24].
Identifying cause-effect relation among variables is a key step in the decision-making process. While causal inference requires randomized experiments, researchers and policymakers are increasingly using observational studies to test causal hypotheses due to the wide availability of observational data and the infeasibility of experiments. The matching method is the most used technique to make causal inference from observational data. However, the pair assignment process in one-to-one matching creates uncertainty in the inference because of different choices made by the experimenter. Recently, discrete optimization models are proposed to tackle such uncertainty. Although a robust inference is possible with discrete optimization models, they produce nonlinear problems and lack scalability. In this work, we propose greedy algorithms to solve the robust causal inference test instances from observational data with continuous outcomes. We propose a unique framework to reformulate the nonlinear binary optimization problems as feasibility problems. By leveraging the structure of the feasibility formulation, we develop greedy schemes that are efficient in solving robust test problems. In many cases, the proposed algorithms achieve global optimal solution. We perform experiments on three real-world datasets to demonstrate the effectiveness of the proposed algorithms and compare our result with the state-of-the-art solver. Our experiments show that the proposed algorithms significantly outperform the exact method in terms of computation time while achieving the same conclusion for causal tests. Both numerical experiments and complexity analysis demonstrate that the proposed algorithms ensure the scalability required for harnessing the power of big data in the decision-making process.