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The success of neural networks over the past decade has established them as effective models for many relevant data generating processes. Statistical theory on neural networks indicates graceful scaling of sample complexity. For example,…
Sparsity regularized loss minimization problems play an important role in various fields including machine learning, data mining, and modern statistics. Proximal gradient descent method and coordinate descent method are the most popular…
Conditional stochastic optimization covers a variety of applications ranging from invariant learning and causal inference to meta-learning. However, constructing unbiased gradient estimators for such problems is challenging due to the…
We consider distributed learning using constant stepsize SGD (DSGD) over several devices, each sending a final model update to a central server. In a final step, the local estimates are aggregated. We prove in the setting of…
First-order methods such as stochastic gradient descent (SGD) are currently the standard algorithm for training deep neural networks. Second-order methods, despite their better convergence rate, are rarely used in practice due to the…
Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…
We consider stochastic approximation for the least squares regression problem in the non-strongly convex setting. We present the first practical algorithm that achieves the optimal prediction error rates in terms of dependence on the noise…
Recently there are a considerable amount of work devoted to the study of the algorithmic stability and generalization for stochastic gradient descent (SGD). However, the existing stability analysis requires to impose restrictive assumptions…
Linear discriminant analysis (LDA) is a popular technique to learn the most discriminative features for multi-class classification. A vast majority of existing LDA algorithms are prone to be dominated by the class with very large deviation…
Stochastic gradient descent (SGD) or stochastic approximation has been widely used in model training and stochastic optimization. While there is a huge literature on analyzing its convergence, inference on the obtained solutions from SGD…
Sparse regularized regression methods are now widely used in genome-wide association studies (GWAS) to address the multiple testing burden that limits discovery of potentially important predictors. Linear mixed models (LMMs) have become an…
The mini-batch stochastic gradient descent (SGD) algorithm is widely used in training machine learning models, in particular deep learning models. We study SGD dynamics under linear regression and two-layer linear networks, with an easy…
Distributed stochastic gradient descent (SGD) is essential for scaling the machine learning algorithms to a large number of computing nodes. However, the infrastructures variability such as high communication delay or random node slowdown…
Several recent trends in machine learning theory and practice, from the design of state-of-the-art Gaussian Process to the convergence analysis of deep neural nets (DNNs) under stochastic gradient descent (SGD), have found it fruitful to…
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…
Fine-tuned Large Language Models (LLMs) often suffer from overconfidence and poor calibration, particularly when fine-tuned on small datasets. To address these challenges, we propose a simple combination of Low-Rank Adaptation (LoRA) with…
Stochastic convex optimization algorithms are the most popular way to train machine learning models on large-scale data. Scaling up the training process of these models is crucial, but the most popular algorithm, Stochastic Gradient Descent…
Stochastic gradient descent (SGD) is the workhorse of modern machine learning. Sometimes, there are many different potential gradient estimators that can be used. When so, choosing the one with the best tradeoff between cost and variance is…
Stochastic gradient descent (SGD) is a ubiquitous algorithm for a variety of machine learning problems. Researchers and industry have developed several techniques to optimize SGD's runtime performance, including asynchronous execution and…
We consider a decentralized learning setting in which data is distributed over nodes in a graph. The goal is to learn a global model on the distributed data without involving any central entity that needs to be trusted. While gossip-based…