Related papers: Stochastic gradient descent methods for estimation…

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…

Scalable algorithms of posterior approximation allow Bayesian nonparametrics such as Dirichlet process mixture to scale up to larger dataset at fractional cost. Recent algorithms, notably the stochastic variational inference performs local…

We propose a new framework, inspired by random matrix theory, for analyzing the dynamics of stochastic gradient descent (SGD) when both number of samples and dimensions are large. This framework applies to any fixed stepsize and the finite…

This paper investigates the problems large-scale distributed composite convex optimization, with motivations from a broad range of applications, including multi-agent systems, federated learning, smart grids, wireless sensor networks,…

Here, we study different update rules in stochastic gradient descent (SGD) for online forecasting problems. The selection of the learning rate parameter is critical in SGD. However, it may not be feasible to tune this parameter in online…

Stochastic gradient methods are central to modern large-scale learning, but their use with incomplete covariates remains delicate since imputation schemes generally introduce systematic gradient biases, as shown for linear models. In this…

Stochastic gradient descent based algorithms are typically used as the general optimization tools for most deep learning models. A Restricted Boltzmann Machine (RBM) is a probabilistic generative model that can be stacked to construct deep…

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…

This paper investigates different vector step-size adaptation approaches for non-stationary online, continual prediction problems. Vanilla stochastic gradient descent can be considerably improved by scaling the update with a vector of…

In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possibly nonconvex) stochastic programming (SP) problems.…

Stochastic Gradient Descent (SGD) has become one of the most popular optimization methods for training machine learning models on massive datasets. However, SGD suffers from two main drawbacks: (i) The noisy gradient updates have high…

Due to the highly non-convex nature of large-scale robust parameter estimation, avoiding poor local minima is challenging in real-world applications where input data is contaminated by a large or unknown fraction of outliers. In this paper,…

Non linear regression models are a standard tool for modeling real phenomena, with several applications in machine learning, ecology, econometry... Estimating the parameters of the model has garnered a lot of attention during many years. We…

Computing the gradient of a function provides fundamental information about its behavior. This information is essential for several applications and algorithms across various fields. One common application that require gradients are…

It is well-known that the reparameterisation gradient estimator, which exhibits low variance in practice, is biased for non-differentiable models. This may compromise correctness of gradient-based optimisation methods such as stochastic…

We develop the mathematical foundations of the stochastic modified equations (SME) framework for analyzing the dynamics of stochastic gradient algorithms, where the latter is approximated by a class of stochastic differential equations with…

Stochastic Gradient Descent with a constant learning rate (constant SGD) simulates a Markov chain with a stationary distribution. With this perspective, we derive several new results. (1) We show that constant SGD can be used as an…

Stochastic gradient algorithm is a key ingredient of many machine learning methods, particularly appropriate for large-scale learning.However, a major caveat of large data is their incompleteness.We propose an averaged stochastic gradient…

Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time.…

The current interpretation of stochastic gradient descent (SGD) as a stochastic process lacks generality in that its numerical scheme restricts continuous-time dynamics as well as the loss function and the distribution of gradient noise. We…