Convex optimization has developed a wide variety of useful tools critical to many applications in machine learning. However, unlike linear and quadratic programming, general convex solvers have not yet reached sufficient maturity to fully decouple the convex programming model from the numerical algorithms required for implementation. Especially as datasets grow in size, there is a significant gap in speed and scalability between general solvers and specialized algorithms. This thesis addresses this gap with a new model for convex programming based on an intermediate representation of convex problems as a sum of functions with efficient proximal operators. This representation serves two purposes: 1) many problems can be expressed in terms of functions with simple proximal operators, and 2) the proximal operator form serves as a general interface to any specialized algorithm that can incorporate additional `2-regularization. On a single CPU core, numerical results demonstrate that the prox-affine form results in significantly faster algorithms than existing general solvers based on conic forms. In addition, splitting problems into separable sums is attractive from the perspective of distributing solver work amongst multiple cores and machines. We apply large-scale convex programming to several problems arising from building the next-generation, information-enabled electrical grid. In these problems (as is common in many domains) large, high-dimensional datasets present opportunities for novel data-driven solutions. We present approaches based on convex models for several problems: probabilistic forecasting of electricity generation and demand, preventing failures in microgrids and source separation for whole-home energy disaggregation.

This thesis is concerned with convex optimization problems over matrix polynomials that are constrained to be positive semidefinite on the unit circle. Problems of this form appear in signal processing and can often be solved as semidefinite programs (SDPs). Interior-point solvers for these SDPs scale poorly, and this thesis aims to design first-order methods that are more efficient. We propose methods based on a generalized proximal operator defined in terms of a Bregman divergence. Empirical results on three applications in signal processing demonstrate that the proposed methods scale much better than interior-point solvers. As an example, for sparse estimation of spectral density matrices, Douglas--Rachford splitting with the generalized proximal operator is about 1000 times faster and scales to much larger problems. The ability to solve larger problems allows us to perform functional connectivity analysis of the brain by constructing a sparse estimate of the inverse spectral density matrix.

The JPEG codec is currently the most widely used image format. This work deals with the design and implementation of an alternative JPEG codec using proximal algorithms in combination with the fixation of points from the original image to suppression of artifacts created in common JPEG coding. To solve the problem, the prox_TV and then the Douglas-Rachford algorithm were used, for which special functions using l_1-norm for image reconstruction were derived. The results of the proposed solution are very good because they can effectively suppress the artefacts created and the result corresponds to the image with a higher set qualitative factor. The proposed method achieves very good results for both simple images and photos, but in the case of large images (1024 × 1024 px) and larger, a large amount of computing time is required, so the method is more suitable for smaller images.

This diploma thesis deals with separation of backgroud and moving objects in video. Video can be represented as series of frames and each frame represented as low - rank structure - matrix. This thesis describe sparse representation of signals and robust principal component analysis. It also presents and implements algorithms - models for reconstruction of real video.

This diploma thesis deals with separation of backgroud and moving objects in video. Video can be represented as series of frames and each frame represented as low - rank structure - matrix. This thesis describe sparse representation of signals and robust principal component analysis. It also presents and implements algorithms - models for reconstruction of real video.

This diploma thesis deals with separation of backgroud and moving objects in video. Video can be represented as series of frames and each frame represented as low - rank structure - matrix. This thesis describe sparse representation of signals and robust principal component analysis. It also presents and implements algorithms - models for reconstruction of real video.