Related papers: On Smoothing, Regularization and Averaging in Stoc…

Rotation averaging (RA) is a fundamental problem in robotics and computer vision. In RA, the goal is to estimate a set of $N$ unknown orientations $R_{1}, ..., R_{N} \in SO(3)$, given noisy measurements $R_{ij} \sim R^{-1}_{i} R_{j}$ of a…

We propose a new ensemble prediction method, Random Subset Averaging (RSA), tailored for settings with many covariates, particularly in the presence of strong correlations. RSA constructs candidate models via binomial random subset strategy…

Stochastic variational inequalities (SVI) model a large class of equilibrium problems subject to data uncertainty, and are closely related to stochastic optimization problems. The SVI solution is usually estimated by a solution to a sample…

While nowadays most gradient-based optimization methods focus on exploring the high-dimensional geometric features, the random error accumulated in a stochastic version of any algorithm implementation has not been stressed yet. In this…

In this paper, we propose a general extra-gradient scheme for solving monotone variational inequalities (VI), referred to here as Approximation-based Regularized Extra-gradient method (ARE). The first step of ARE solves a VI subproblem with…

SARSA is an on-policy algorithm to learn a Markov decision process policy in reinforcement learning. We investigate the SARSA algorithm with linear function approximation under the non-i.i.d.\ data, where a single sample trajectory is…

Dual averaging and gradient descent with their stochastic variants stand as the two canonical recipe books for first-order optimization: Every modern variant can be viewed as a descendant of one or the other. In the convex regime, these…

Simultaneous perturbation stochastic approximation (SPSA) is widely used in stochastic optimization due to its high efficiency, asymptotic stability, and reduced number of required loss function measurements. However, the standard SPSA…

Sparse Principal Component Analysis (SPCA) is a fundamental technique for dimensionality reduction, and is NP-hard. In this paper, we introduce a randomized approximation algorithm for SPCA, which is based on the basic SDP relaxation. Our…

Many machine learning and optimization algorithms are built upon the framework of stochastic approximation (SA), for which the selection of step-size (or learning rate) $\{\alpha_n\}$ is crucial for success. An essential condition for…

Regularization for optimization is a crucial technique to avoid overfitting in machine learning. In order to obtain the best performance, we usually train a model by tuning the regularization parameters. It becomes costly, however, when a…

We develop and analyze a variant of the SARAH algorithm, which does not require computation of the exact gradient. Thus this new method can be applied to general expectation minimization problems rather than only finite sum problems. While…

We consider the minimization of a sum of an expectation-valued coordinate-wise $L_i$-smooth nonconvex function and a nonsmooth block-separable convex regularizer. We propose an asynchronous variance-reduced algorithm, where in each…

Variance reduction (VR) methods employ stochastic gradients with decreasing variance, and they have been widely applied to solve large-scale optimization problems in machine learning because of their efficiency. Existing theoretical studies…

We introduce Stochastic Asymptotical Regularization (SAR) methods for the uncertainty quantification of the stable approximate solution of ill-posed linear-operator equations, which are deterministic models for numerous inverse problems in…

We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditionally on the realisation of…

This paper considers variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions and provides three stochastic approximation schemes to solve them. All methods use an empirical estimate of the CVaR…

Stochastic Proximal Gradient (SPG) methods have been widely used for solving optimization problems with a simple (possibly non-smooth) regularizer in machine learning and statistics. However, to the best of our knowledge no non-asymptotic…

This paper investigates the stability and convergence properties of asynchronous stochastic approximation (SA) algorithms, with a focus on extensions relevant to average-reward reinforcement learning. We first extend a stability proof…

Motivated by multi-user optimization problems and non-cooperative Nash games in stochastic regimes, we consider stochastic variational inequality (SVI) problems on matrix spaces where the variables are positive semidefinite matrices and the…