Related papers: Stochastic Approximation, Cooperative Dynamics and…
Potential games and decentralised partially observable MDPs (Dec-POMDPs) are two commonly used models of multi-agent interaction, for static optimisation and sequential decisionmaking settings, respectively. In this paper we introduce…
A nonintrusive model order reduction method for bilinear stochastic differential equations with additive noise is proposed. A reduced order model (ROM) is designed in order to approximate the statistical properties of high-dimensional…
This article suggests that deterministic Gradient Descent, which does not use any stochastic gradient approximation, can still exhibit stochastic behaviors. In particular, it shows that if the objective function exhibit multiscale…
We propose a new gradient descent algorithm with added stochastic terms for finding the global optimizers of nonconvex optimization problems. A key component in the algorithm is the adaptive tuning of the randomness based on the value of…
The rigorous linking of exact stochastic models to mean-field approximations is studied. Starting from the differential equation point of view the stochastic model is identified by its Kolmogorov equations, which is a system of linear ODEs…
Submodular maximization is a classic algorithmic problem with multiple applications in data mining and machine learning; there, the growing need to deal with massive instances motivates the design of algorithms balancing the quality of the…
We consider the maximization of a submodular objective function $f:2^U\to\mathbb{R}_{\geq 0}$, where the objective $f$ is not accessed as a value oracle but instead subject to noisy queries. We introduce a versatile adaptive sampling…
Motivated by problems arising in decentralized control problems and non-cooperative Nash games, we consider a class of strongly monotone Cartesian variational inequality (VI) problems, where the mappings either contain expectations or their…
We analyze stochastic algorithms for optimizing nonconvex, nonsmooth finite-sum problems, where the nonconvex part is smooth and the nonsmooth part is convex. Surprisingly, unlike the smooth case, our knowledge of this fundamental problem…
In this paper, we study stochastic submodular maximization problems with general matroid constraints, that naturally arise in online learning, team formation, facility location, influence maximization, active learning and sensing objective…
Stochastic optimization naturally appear in many application areas, including machine learning. Our goal is to go further in the analysis of the Stochastic Average Gradient Accelerated (SAGA) algorithm. To achieve this, we introduce a new…
Submodular optimization generalizes many classic problems in combinatorial optimization and has recently found a wide range of applications in machine learning (e.g., feature engineering and active learning). For many large-scale…
Inverse problems in scientific computing often require optimization over infinite-dimensional Hilbert spaces. A commonly used solver in such settings is stochastic gradient descent (SGD), where gradients are approximated using randomly…
We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
We present two stochastic descent algorithms that apply to unconstrained optimization and are particularly efficient when the objective function is slow to evaluate and gradients are not easily obtained, as in some PDE-constrained…
The problem of sparse approximation and the closely related compressed sensing have received tremendous attention in the past decade. Primarily studied from the viewpoint of applied harmonic analysis and signal processing, there have been…
We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorithm. We show that the method is equivalent to the fictitious…
Two-time-scale stochastic approximation, a generalized version of the popular stochastic approximation, has found broad applications in many areas including stochastic control, optimization, and machine learning. Despite its popularity,…
In this paper, a novel stochastic extra-step quasi-Newton method is developed to solve a class of nonsmooth nonconvex composite optimization problems. We assume that the gradient of the smooth part of the objective function can only be…