Related papers: On Stochastic Gradient and Subgradient Methods wit…
Many machine learning applications and tasks rely on the stochastic gradient descent (SGD) algorithm and its variants. Effective step length selection is crucial for the success of these algorithms, which has motivated the development of…
We develop model-based methods for solving stochastic convex optimization problems, introducing the approximate-proximal point, or aProx, family, which includes stochastic subgradient, proximal point, and bundle methods. When the modeling…
The recent literature on first order methods for smooth optimization shows that significant improvements on the practical convergence behaviour can be achieved with variable stepsize and scaling for the gradient, making this class of…
Recent studies have shown that many nonconvex machine learning problems satisfy a generalized-smooth condition that extends beyond traditional smooth nonconvex optimization. However, the existing algorithms are not fully adapted to such…
Sparse learning is a very important tool for mining useful information and patterns from high dimensional data. Non-convex non-smooth regularized learning problems play essential roles in sparse learning, and have drawn extensive attentions…
We study stochastic optimization of nonconvex loss functions, which are typical objectives for training neural networks. We propose stochastic approximation algorithms which optimize a series of regularized, nonlinearized losses on large…
In this work, we propose new adaptive step size strategies that improve several stochastic gradient methods. Our first method (StoPS) is based on the classical Polyak step size (Polyak, 1987) and is an extension of the recent development of…
We present a different view on stochastic optimization, which goes back to the splitting schemes for approximate solutions of ODE. In this work, we provide a connection between stochastic gradient descent approach and first-order splitting…
Stochastic gradient algorithms have been the main focus of large-scale learning problems and they led to important successes in machine learning. The convergence of SGD depends on the careful choice of learning rate and the amount of the…
Stochastic gradient methods (SGMs) have been widely used for solving stochastic optimization problems. A majority of existing works assume no constraints or easy-to-project constraints. In this paper, we consider convex stochastic…
In this contribution, we present a full overview of the continuous stochastic gradient (CSG) method, including convergence results, step size rules and algorithmic insights. We consider optimization problems in which the objective function…
We prove novel convergence results for a stochastic proximal gradient algorithm suitable for solving a large class of convex optimization problems, where a convex objective function is given by the sum of a smooth and a possibly non-smooth…
This work introduces a two-step stepsize schedule for stochastic gradient methods minimizing smooth strongly convex functions. We consider the setting where only stochastic gradient approximations, which are unbiased, of bounded variance,…
The subgradient method is one of the most fundamental algorithmic schemes for nonsmooth optimization. The existing complexity and convergence results for this method are mainly derived for Lipschitz continuous objective functions. In this…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
In this paper, we propose a proximal gradient method and an accelerated proximal gradient method for solving composite optimization problems, where the objective function is the sum of a smooth and a convex, possibly nonsmooth, function. We…
In the development of first-order methods for smooth (resp., composite) convex optimization problems, where smooth functions with Lipschitz continuous gradients are minimized, the gradient (resp., gradient mapping) norm becomes a…
This paper proposes a novel approach to adaptive step sizes in stochastic gradient descent (SGD) by utilizing quantities that we have identified as numerically traceable -- the Lipschitz constant for gradients and a concept of the local…
The aim of this paper is to deepen the convergence analysis of the scaled gradient projection (SGP) method, proposed by Bonettini et al. in a recent paper for constrained smooth optimization. The main feature of SGP is the presence of a…
In this paper, we explore two fundamental first-order algorithms in convex optimization, namely, gradient descent (GD) and proximal gradient method (ProxGD). Our focus is on making these algorithms entirely adaptive by leveraging local…