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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 analyze the last-iterate convergence of the Anchored Gradient Descent Ascent algorithm for smooth convex-concave min-max problems. While previous work established a last-iterate rate of $\mathcal{O}(1/t^{2-2p})$ for the squared gradient…
Selecting an effective step-size is a fundamental challenge in first-order optimization, especially for problems with non-Euclidean geometries. This paper presents a novel adaptive step-size strategy for optimization algorithms that rely on…
In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and…
We study convergence rates of the classic proximal bundle method for a variety of nonsmooth convex optimization problems. We show that, without any modification, this algorithm adapts to converge faster in the presence of smoothness or a…
We consider variants of a recently-developed Newton-CG algorithm for nonconvex problems \citep{royer2018newton} in which inexact estimates of the gradient and the Hessian information are used for various steps. Under certain conditions on…
A prevalent belief among optimization specialists is that linear convergence of gradient descent is contingent on the function growing quadratically away from its minimizers. In this work, we argue that this belief is inaccurate. We show…
Stochastic gradient descent (SGD) for strongly convex functions converges at the rate $\bO(1/k)$. However, achieving good results in practice requires tuning the parameters (for example the learning rate) of the algorithm. In this paper we…
This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…
We study a class of non-convex and non-smooth problems with \textit{rank} regularization to promote sparsity in optimal solution. We propose to apply the proximal gradient descent method to solve the problem and accelerate the process with…
A scaled conjugate gradient method that accelerates existing adaptive methods utilizing stochastic gradients is proposed for solving nonconvex optimization problems with deep neural networks. It is shown theoretically that, whether with…
We present a distributed proximal-gradient method for optimizing the average of convex functions, each of which is the private local objective of an agent in a network with time-varying topology. The local objectives have distinct…
Due to the non-smoothness of optimization problems in Machine Learning, generalized smoothness assumptions have been gaining a lot of attention in recent years. One of the most popular assumptions of this type is $(L_0,L_1)$-smoothness…
In this paper we consider large-scale composite nonconvex optimization problems having the objective function formed as a sum of three terms, first has block coordinate-wise Lipschitz continuous gradient, second is twice differentiable but…
This paper proposes a novel CTA (Combine-Then-Adapt)-based decentralized algorithm for solving convex composite optimization problems over undirected and connected networks. The local loss function in these problems contains both smooth and…
We develop new sub-optimality bounds for gradient descent (GD) that depend on the conditioning of the objective along the path of optimization rather than on global, worst-case constants. Key to our proofs is directional smoothness, a…
We analyze the convergence rate of the multiplicative gradient (MG) method for PET-type problems with $m$ component functions and an $n$-dimensional optimization variable. We show that the MG method has an $O(\ln(n)/t)$ convergence rate, in…
We survey incremental methods for minimizing a sum $\sum_{i=1}^mf_i(x)$ consisting of a large number of convex component functions $f_i$. Our methods consist of iterations applied to single components, and have proved very effective in…
We investigate the Randomized Stochastic Accelerated Gradient (RSAG) method, utilizing either constant or adaptive step sizes, for stochastic optimization problems with generalized smooth objective functions. Under relaxed affine variance…
The analysis of gradient descent-type methods typically relies on the Lipschitz continuity of the objective gradient. This generally requires an expensive hyperparameter tuning process to appropriately calibrate a stepsize for a given…