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We introduce an extension of Stochastic Dual Dynamic Programming (SDDP) to solve stochastic convex dynamic programming equations. This extension applies when some or all primal and dual subproblems to be solved along the forward and…
We propose an online learning algorithm for a class of machine learning models under a separable stochastic approximation framework. The essence of our idea lies in the observation that certain parameters in the models are easier to…
Many econometric analyses involve spatio--temporal data. A considerable amount of literature has addressed spatio--temporal models, with Spatial Dynamic Panel Data (SDPD) being widely investigated and applied. In real data applications,…
This work presents a stochastic dynamic programming (SDP) algorithm that aims at minimizing an economic criteria based on the total energy consumption of a range extender electric vehicle (REEV). This algorithm integrates information from…
Temporal difference (TD) learning is a foundational algorithm in reinforcement learning (RL). For nearly forty years, TD learning has served as a workhorse for applied RL as well as a building block for more complex and specialized…
This paper considers sequential adaptive estimation of sparse signals under a constraint on the total sensing effort. The advantage of adaptivity in this context is the ability to focus more resources on regions of space where signal…
This paper introduces a new robust interior point method analysis for semidefinite programming (SDP). This new robust analysis can be combined with either logarithmic barrier or hybrid barrier. Under this new framework, we can improve the…
There has been widespread interest in the use of grid-level storage to handle the variability from increasing penetrations of wind and solar energy. This problem setting requires optimizing energy storage and release decisions for anywhere…
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such problems under time-independence assumptions. We show how to…
Existing reduced-dimension beam-Doppler space-time adaptive processing (RD-BD-STAP) algorithms are confined to the beam-Doppler cells used for adaptation, which often leads to some performance degradation. In this work, a novel…
Motivated by the philosophy and phenomenal success of compressed sensing, the problem of reconstructing a matrix from a sampling of its entries has attracted much attention recently. Such a problem can be viewed as an information-theoretic…
In recent centralized nonconvex distributed learning and federated learning, local methods are one of the promising approaches to reduce communication time. However, existing work has mainly focused on studying first-order optimality…
Machine unlearning, the ability for a machine learning model to forget, is becoming increasingly important to comply with data privacy regulations, as well as to remove harmful, manipulated, or outdated information. The key challenge lies…
Dynamic mode decomposition (DMD) is a widely used data-driven algorithm for predicting the future states of dynamical systems. However, its standard formulation often struggles with poor long-term predictive accuracy. To address this…
The performance of standard stochastic approximation implementations can vary significantly based on the choice of the steplength sequence, and in general, little guidance is provided about good choices. Motivated by this gap, in the first…
Many nonconvex problems in robotics can be relaxed into convex formulations via Semi-Definite Programming (SDP) that can be solved to global optimality. The practical quality of these solutions, however, critically depends on rounding them…
Stochastic gradient descent (SGD) is a standard optimization method to minimize a training error with respect to network parameters in modern neural network learning. However, it typically suffers from proliferation of saddle points in the…
Spike Timing Dependent Plasticity is form of learning that has been demonstrated in real cortical tissue, but attempts to use it for artificial systems have not produced good results. This paper seeks to remedy this with two significant…
Adaptive methods such as Adam and RMSProp are widely used in deep learning but are not well understood. In this paper, we seek a crisp, clean and precise characterization of their behavior in nonconvex settings. To this end, we first…
A large number of problems in optimization, machine learning, signal processing can be effectively addressed by suitable semidefinite programming (SDP) relaxations. Unfortunately, generic SDP solvers hardly scale beyond instances with a few…