##### Department of Mathematics,

University of California San Diego

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### Math 278C: Optimization and Data Science

## Prof. Jane Ye

#### University of Victoria

## Difference of convex algorithm for bilevel programs with applications in hyperparameter selection

##### Abstract:

In this work, we present a difference of convex algorithm for solving bilevel programs in which the upper level objective functions are difference of convex functions, and the lower level programs are fully convex. This nontrivial class of bilevel programs provides a powerful modelling framework for dealing with applications arising from hyperparameter selection in machine learning. Thanks to the full convexity of the lower level program, the value function of the lower level program turns out to be convex and hence the bilevel program can be reformulated as a difference of convex bilevel program. We propose an algorithm for solving the reformulated difference of convex program and show its convergence to stationary points under very mild assumptions.

Host: Jiawang Nie

### February 22, 2023

### 3:00 PM

APM 7321 (in-person talk)

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