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We consider optimization algorithms that successively minimize simple Taylor-like models of the objective function. Methods of Gauss-Newton type for minimizing the composition of a convex function and a smooth map are common examples. Our…
In this paper we study the computation of the nonparametric maximum likelihood estimator (NPMLE) in multivariate mixture models. Our first approach discretizes this infinite dimensional convex optimization problem by fixing the support…
We propose a first order algorithm, a modified version of FISTA, to solve an optimization problem with an objective function that is a sum of a possibly nonconvex function, with Lipschitz continuous gradient, and a convex function which can…
Quantum state tomography (QST), the task of estimating an unknown quantum state given measurement outcomes, is essential to building reliable quantum computing devices. Whereas computing the maximum-likelihood (ML) estimate corresponds to…
We present a new particle filtering algorithm for nonlinear systems in the discrete-time setting. Our algorithm is based on the Stein variational gradient descent (SVGD) framework, which is a general approach to sample from a target…
In simulations of fluid motion time accuracy has proven to be elusive. We seek highly accurate methods with strong enough stability properties to deal with the richness of scales of many flows. These methods must also be easy to implement…
Optimization plays a key role in machine learning. Recently, stochastic second-order methods have attracted much attention due to their low computational cost in each iteration. However, these algorithms might perform poorly especially if…
We present a linear regression method for predictions on a small data set making use of a second possibly biased data set that may be much larger. Our method fits linear regressions to the two data sets while penalizing the difference…
Newton's method is the most widespread high-order method, demanding the gradient and the Hessian of the objective function. However, one of the main disadvantages of Newtons method is its lack of global convergence and high iteration cost.…
A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…
Stochastic gradient descent method and its variants constitute the core optimization algorithms that achieve good convergence rates for solving machine learning problems. These rates are obtained especially when these algorithms are…
Tuning step sizes is crucial for the stability and efficiency of optimization algorithms. While adaptive coordinate-wise step sizes have been shown to outperform scalar step size in first-order methods, their use in second-order methods is…
We introduce a new computational framework for estimating parameters in generalized generalized linear models (GGLM), a class of models that extends the popular generalized linear models (GLM) to account for dependencies among observations…
Chung's Lemma is a classical tool for establishing asymptotic convergence rates of (stochastic) optimization methods under strong convexity-type assumptions and appropriate polynomial diminishing step sizes. In this work, we develop a…
We study estimation in the low signal-to-noise ratio (SNR) regime for a broad class of Gaussian latent-variable models, including Gaussian mixtures and orbit recovery problems. We show that, in this regime, the generalized method-of-moments…
Learning to optimize is a rapidly growing area that aims to solve optimization problems or improve existing optimization algorithms using machine learning (ML). In particular, the graph neural network (GNN) is considered a suitable ML model…
This paper presents an evaluation framework for assessing Large Language Models' (LLMs) capabilities in combinatorial optimization, specifically addressing the 2D bin-packing problem. We introduce a systematic methodology that combines LLMs…
Stochastic Gradient Descent (SGD) methods see many uses in optimization problems. Modifications to the algorithm, such as momentum-based SGD methods have been known to produce better results in certain cases. Much of this, however, is due…
Differentially private (stochastic) gradient descent is the workhorse of DP private machine learning in both the convex and non-convex settings. Without privacy constraints, second-order methods, like Newton's method, converge faster than…
Gradient-based solvers risk convergence to local optima, leading to incorrect researcher inference. Heuristic-based algorithms are able to ``break free" of these local optima to eventually converge to the true global optimum. However, given…