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We study the problem of online non-stochastic control (ONC), which is the control of a linear system under adversarial disturbances and adversarial cost functions, with the aim of minimizing the total cost incurred. A recent line of…
This paper has two main goals: (a) establish several statistical properties---consistency, asymptotic distributions, and convergence rates---of stationary solutions and values of a class of coupled nonconvex and nonsmoothempirical risk…
This work proposes a Stochastic Variational Deep Kernel Learning method for the data-driven discovery of low-dimensional dynamical models from high-dimensional noisy data. The framework is composed of an encoder that compresses…
Partially observable Markov decision processes (POMDPs) with continuous state and observation spaces have powerful flexibility for representing real-world decision and control problems but are notoriously difficult to solve. Recent online…
We consider bi-objective ranking and selection problems, where the goal is to correctly identify the Pareto optimal solutions among a finite set of candidates for which the two objective outcomes have been observed with uncertainty (e.g.,…
We study the problem of variable selection in convex nonparametric regression. Under the assumption that the true regression function is convex and sparse, we develop a screening procedure to select a subset of variables that contains the…
Large-scale saddle-point problems arise in such machine learning tasks as GANs and linear models with affine constraints. In this paper, we study distributed saddle-point problems (SPP) with strongly-convex-strongly-concave smooth…
We consider unconstrained randomized optimization of convex objective functions. We analyze the Random Pursuit algorithm, which iteratively computes an approximate solution to the optimization problem by repeated optimization over a…
In many derivative-free optimization algorithms, a sufficient decrease condition decides whether to accept a trial step in each iteration. This condition typically requires that the potential objective function value decrease of the trial…
Multi-time-scale stochastic approximation is an iterative algorithm for finding the fixed point of a set of $N$ coupled operators given their noisy samples. It has been observed that due to the coupling between the decision variables and…
We consider the unconstrained optimization problem whose objective function is composed of a smooth and a non-smooth conponents where the smooth component is the expectation a random function. This type of problem arises in some interesting…
We consider a non-convex constrained Lagrangian formulation of a fundamental bi-criteria optimization problem for variable selection in statistical learning; the two criteria are a smooth (possibly) nonconvex loss function, measuring the…
In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality problems: the stochastic extra-point solution scheme and the stochastic extra-momentum solution scheme. The first one is a…
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…
In this work, we study first-order algorithms for solving Bilevel Optimization (BO) where the objective functions are smooth but possibly nonconvex in both levels and the variables are restricted to closed convex sets. As a first step, we…
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…
This paper studies the estimation of network weights for a class of systems with binary-valued observations. In these systems only quantized observations are available for the network estimation. Furthermore, system states are coupled with…
In model-free deep reinforcement learning (RL) algorithms, using noisy value estimates to supervise policy evaluation and optimization is detrimental to the sample efficiency. As this noise is heteroscedastic, its effects can be mitigated…
The stochastic gradient descent has been widely used for solving composite optimization problems in big data analyses. Many algorithms and convergence properties have been developed. The composite functions were convex primarily and…
Evolutionary algorithms are particularly effective for optimisation problems with dynamic and stochastic components. We propose multi-objective evolutionary approaches for the knapsack problem with stochastic profits under static and…